|Year of offer||2018|
|Subject level||Graduate coursework|
|Fees||Subject EFTSL, Level, Discipline & Census Date|
The subject will focus on estimating and testing nonlinear models in finance including volatility models, artificial neural networks, factor models of contagion and discrete models of financial behaviour. Special attention will be given to applications in option markets (implied volatility and smiles), bond markets (level effects) and credit markets (default risk). Estimation and testing methods are based on maximum likelihood and generalised method of moments. The computer software used throughout the course is E-Views.
Intended learning outcomes
On successful completion of this subject students should be able to:
- Identify and apply recent advances in quantitative methods to solve a range of problems in finance;
- Describe how quantitative procedures can be applied in financial decision making;
- Demonstrate a sophisticated understanding of quantitative methods by reproducing existing results. This will involve using both mathematical and computer skills. The computer programs used are EViews, Matlab and Excel;
- Develop alternative frameworks for exploring new ideas in building alternative financial models;
- Evaluate the strengths and importance of research in applied finance and the implications of research for solving financial problems.
On successful completion of this subject, students should have improved the following generic skills:
- Evaluation of ideas, views and evidence;
- Synthesis of ideas, views and evidence;
- Strategic thinking;
- Critical thinking;
- Application of theory to economic policy and business decision making;
- Summary and interpretation of information;
- Statistical reasoning;
- Problem solving skills;
- Written communication; and
- Oral communication.