Dr Jack Favilukis OLD M2.14

Intended for students taking FM442 Quantitative Methods for Finance and Risk Analysis and FM404 Forecasting Financial Time Series. There may be limited availability to other students on the MSc Finance (Full-time), MSc Finance and Economics, MSc Management and Regulation of Risk, MSc Risk and Finance and MSc Accounting and Finance programmes.

This course is an introduction to computational methods in finance; the course uses Matlab. We will begin with an introduction to basic Matlab. We will then learn how to simulate individual securities, with a special focus on the predictability and fat tails features of volatility. Simultaneously we will examine the data to test how well our models approximate the real world. Next we will move onto modeling portfolios of multiple securities and test the CAPM and the Fama-French three factor model; we will also test for long term predictability in asset prices. Finally we will use numerical techniques to price options and to construct a yield curve.

2 hours of lectures and 7 hours of seminars in the MT.

Teaching notes will be distributed.

This is an additional, non-assessed computer course to supplement MSc level courses in the Department of Finance.