Code

COMPG002

Year

MSc

Prerequisites

MATHGM21 Quantitative and Computational Finance

Term

2

Taught By

Riaz Ahmad (100%)

Aims

C++ remains the preferred source of technology in the financial markets and the most popular programming language used in Quantitative Finance. This course is aimed at introducing Computational Finance using C++. The relevant numerical schemes of use in derivative pricing will be presented. The course assumes no prior knowledge of C++.

Learning Outcomes

Demonstrable skills in applying numerical schemes and programming proficiency in basic C++ to solve practical problems in Mathematical Finance.

•             Introduction to C++ to cover Data types, I/O, Functions, Arrays and Strings, Pointers, Recursion. Objects & Classes, Polymorphism, Inheritance, STL Library

•             Root finding by Newton-Raphson and Bisection.

•             Numerical Linear Algebra

•             PDE numerical methods (fully implicit, Crank Nicolson).

•             Tree models. Comparison of binomial and trinomial with varying models.

•             Monte Carlo modelling. Terminal and full path structures. Implications of variance reduction methods.

•             Multivariate modelling with distributions and copulas.

15 hours of lecture presentations and 15 hours of computer lab sessions in term two

The course has the following assessment components:

Written Examination (2 hours, 40%)

Coursework Section (1 piece, 60%)

To pass this course, students must: Obtain an overall pass mark of 50% for all sections combined

Recommended text:

Monte Carlo Methods in Financial Engineering, P. Glasserman;

Numerical Analysis, R. Burden & J.D Faires;

An Introduction to Numerical Methods in C++, B.H Flowers;

Further readings:

Computational Finance Using C and C#, G. Levy;