306-468 Numerical Techniques in Finance and Investment

Prerequisites

306-331 Investments.

Semester

Contact

Subject Description

The use of Microsoft Excel at an advanced level, including the use of inbuilt functions and data modelling tools such as Goalseek and Solver. Programming in Microsoft Visual Basic for Applications, including the writing of functions and subroutines, interface design and output generation. Computer accuracy, stability and convergence; electronic spreadsheets and elementary computer programming; interpolation and approximation procedures; methods of numerical search, Monte Carlo methods; numerical integration techniques; solution methods for systems of equations. Applications include: Models of the term structure of interest rates, option pricing, valuation of bond options, implied option volatility, the dynamics of portfolio insurance programmes, portfolio simulation, portfolio optimisation, the composition of stock plus warrant packages of known value, determination of internal rates of return, capital budgeting.

Assessment

Assignments including a major programming project (50%); an end-of-semester examination of up to three hours (50%).