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Numerical Techniques in Finance (FNCE40003)

HonoursPoints: 12.5On Campus (Parkville)

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Overview

Year of offer2017
Subject levelHonours
Subject codeFNCE40003
Campus
Parkville
Availability
Semester 1
FeesSubject EFTSL, Level, Discipline & Census Date

Numerical techniques focuses on the theory and application of numerical methods for solving financial problems. The applications may include option valuation, value at risk, term structure modelling, portfolio simulation and optimisation and capital budgeting. These applications motivate the study of matrix methods, the solutions of linear and nonlinear equations, interpolation and approximation methods, numerical integration and Monte Carlo methods. No prior programming experience is required as the principles of programming are covered.

Intended learning outcomes

  • Explain the principles of object-orientated programming.
  • Design computer programs that implement solutions in an efficient and effective manner.
  • Analyse the effects of numerical errors on computer-based finance models.
  • Use a variety of numerical procedures to solve quantitative finance problems.
  • Identify and analyse the assumptions, limitations and implementations of computer-based financial.
    models.
  • Evaluate the applicability of various mathematical techniques to classes of finance problems

Generic skills

  • High level of development: problem solving; application of theory to practice; use of computer software; accessing data and other information from a range of sources.

  • Moderate level of development: team work; interpretation and analysis.

  • Some level of development: written communication; statistical reasoning; critical thinking; synthesis of data and other information; evaluation of data and other information.

Last updated: 16 August 2017