Computational Methods for Finance

Course aim

Computational finance is concerned with the construction of numerical models to address core questions in finance. These include the pricing of risk, portfolio construction and security valuation.
Computational finance is concerned with making definite numerical recommendations that frequently can only be obtained by analysing sophisticated models using high-speed computers. This course studies the use of Excel, and the implementation of financial knowledge with computer to solve practical finance problems.

Course content

Introduction to Excel, and the functions used in finance
Programing in Excel
Portfolio optimisation and implementation in Excel
The Capital Asset Pricing Model and regression
Black-Scholes models, option pricing and implementation of models in Excel
Monte Carlo simulation for risk management

Textbook(s)

Jackson, M & Staunton, M 2001, Advanced modelling in finance using Excel and VBA, Wiley, England

Prerequisite(s)

Common to all relevant programs
Subject Area & Catalogue Number	Course Name
BUSS 5233	Corporate Finance

Corequisite(s)

Nil

Teaching method

Component	Duration
INTERNAL, CITY WEST
Preparatory	1 x 1 week
Seminar	3 hours x 10 weeks
EXTERNAL, CITY WEST, ONLINE
External	N/A x 10 weeks

Note: These components may or may not be scheduled in every study period. Please refer to the timetable for further details.

Assessment

Assignment, Project and Presentation

Fees

EFTSL*: 0.125
Commonwealth Supported program (Band 4C)
To determine the fee for this course as part of a Commonwealth Supported program, go to:
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Fee-paying program for domestic and international students
International students and students undertaking this course as part of a postgraduate fee paying program must refer to the relevant program home page to determine the cost for undertaking this course.

Non-award enrolment
Non-award tuition fees are set by the university. To determine the cost of this course, go to:
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Not all courses are available on all of the above bases, and students must check to ensure that they are permitted to enrol in a particular course.

* Equivalent Full Time Study Load. Please note: all EFTSL values are published and calculated at ten decimal places. Values are displayed to three decimal places for ease of interpretation.