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Numerical Techniques in Finance (FNCE40003)

HonoursPoints: 12.5On Campus (Parkville)

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Overview

Availability
Semester 1
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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: 31 January 2024

Eligibility and requirements

Prerequisites

Students must meet one of the following prerequisite options:

Option 1

Admission into the BH-COM Bachelor of Commerce (Degree with Honours)

AND

Code Name Teaching period Credit Points
FNCE30001 Investments
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
 12.5

Option 2

Admission into the MC-COMACTS Master of Commerce (Actuarial Science)

Corequisites

None

Non-allowed subjects

None

Recommended background knowledge

Please refer to Prerequisites and Corequisites.

Inherent requirements (core participation requirements)

The University of Melbourne is committed to providing students with reasonable adjustments to assessment and participation under the Disability Standards for Education (2005), and the Assessment and Results Policy (MPF1326). Students are expected to meet the core participation requirements for their course. These can be viewed under Entry and Participation Requirements for the course outlines in the Handbook.

Further details on how to seek academic adjustments can be found on the Student Equity and Disability Support website: http://services.unimelb.edu.au/student-equity/home

Last updated: 31 January 2024

Assessment

DescriptionTimingPercentage

Assignment

  • 500 words
Week 610%

Assignment

  • 2000 words
Week 1250%

Presentation (500 words)

  • 5 minutes
Week 1210%

End-of-semester examination

  • 2 hours
During the examination period30%

Last updated: 31 January 2024

Dates & times

  • Semester 1
    Principal coordinatorJonathan Dark
    Mode of deliveryOn Campus (Parkville)
    Contact hoursThree hours of lectures and workshops per week
    Teaching period26 February 2024 to 26 May 2024
    Last self-enrol date 8 March 2024
    Census date 3 April 2024
    Last date to withdraw without fail 3 May 2024
    Assessment period ends21 June 2024

    Semester 1 contact information

    jdark@unimelb.edu.au

What do these dates mean

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  • And for Commonwealth Supported students, your:
    - Student Learning Entitlement. This applies to all students enrolled in a Commonwealth Supported Place (CSP).

    Subjects withdrawn after the census date (including up to the ‘last day to withdraw without fail’) count toward the Student Learning Entitlement.

Last updated: 31 January 2024

Further information

  • Texts

    Prescribed texts

    You will be advised of prescribed texts by your lecturer.

  • Related Handbook entries

    This subject contributes to the following:

    TypeName
    CourseMaster of Commerce (Actuarial Science)
  • Available to Study Abroad and/or Study Exchange Students

    This subject is available to students studying at the University from eligible overseas institutions on exchange and study abroad. Students are required to satisfy any listed requirements, such as pre- and co-requisites, for enrolment in the subject.

Last updated: 31 January 2024