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Focuses on solving finance problems using quantitative methods including mathematical and numerical techniques and provides the skill-set required for work in quantitative analysis.
Quantitative finance focuses on solving finance problems by using quantitative methods including mathematical and numerical techniques, where mathematical finance formulae are published and widely used in financial engineering and computational finance algorithms are very useful in solving practical problems. During the past decade, many sophisticated mathematical and computational techniques have been developed for analysing financial markets. This paper offers students a skill set widely sought-after by prospective employers.
|Paper title||Special Topic: Fundamentals of Quantitative Finance|
|Teaching period||Semester 2 (On campus)|
|Domestic Tuition Fees||Tuition Fees for 2022 have not yet been set|
|International Tuition Fees||Tuition Fees for international students are elsewhere on this website.|
- FINC 102
- Schedule C
- Teaching staff
Lecturer: Edwin Ruan
- Paper Structure
This paper covers two key themes:
- Mathematical finance
- Computational finance
- Teaching Arrangements
Stata software will be available for the students via Student Desktop platform to use during the lectures.
There are no textbooks required. But a list of recommended textbooks in quantitative finance for reading is provided as follows.
- Options, Futures, and Other Derivatives, by John Hull , 10th Edition, Pearson, 2017
- Derivatives Markets, by Robert L. McDonald, L., 3rd edition, Pearson, 2013
- Monte Carlo Simulation with Applications to Finance, by Hui Wang, CRC Press, 2012
- Course outline
- Graduate Attributes Emphasised
Information literacy, Interdisciplinary perspective, Critical thinking, Self-motivation
View more information about Otago's graduate attributes.
- Learning Outcomes
Students who successfully complete the paper will:
- Demonstrate the knowledge of Brownian motion and expectations
- Understand how to model and simulate stock prices
- Apply the knowledge on Monto Carlo simulation
- Acquire the knowledge of exotic options and its pricing