Computational Finance | COMP6212 | University of Southampton

Module overview

Financial markets form the source of a vast number of challenging computational problems. These are not only intellectually challenging from the point of view of computational modelling, but the financial sector is also an employer of a significant fraction of graduates of Computer Science, Software Engineering, Artificial Intelligence and Data Science.

This module covers two aspects of the use of computational processing in Finance,

The use of computation in the analysis of finance algorithmic instruments. This includes the use of statistical analysis and machine learning.
The computation and programming concepts behind cryptocurrencies.

Aims and Objectives

Learning Outcomes

Knowledge and Understanding

Having successfully completed this module, you will be able to demonstrate knowledge and understanding of:

Theoretical foundation of Blockchain technologies
The mathematical tools, and their computational implementations, underlying the subject
The concepts underlying Cryptocurrencies.
The concepts underlying computational finance

Subject Specific Intellectual and Research Skills

Having successfully completed this module you will be able to:

Analyse the strength and limitations of Blockchain technologies
Identify the methods required to analyse information from financial data and trading systems.
Describe the emerging variants of cryptocurrency-based decentralized system
Explain the approaches required to calculate the price of options.

Syllabus

Part I: Data-driven models

a.Financial Instruments

b.Portfolio optimisation

c.Introduction to stochastic processes and the pricing of derivatives

d.Foundations of time series analysis

Part II: Foundations of Blockchain

a. Concepts underpinning Cryptocurrencies

b. Consensus in decentralized systems

c. Bitcoin mining

d. Platforms, tokens and Smart contracts

Learning and Teaching

Study time
Type	Hours
Completion of assessment task	20
Wider reading or practice	20
Lecture	36
Preparation for scheduled sessions	74
Total study time	150

Resources & Reading list

General Resources

Teaching space, layout and equipment required. Teaching will be in standard lecture rooms and time-tabled laboratory sessions in which students will need access to individual desktop computers running MATLAB and its Financial Toolbox. The introductory part will use several illustrations using this toolbox, but the second part of the module may be implemented in any programming language of convenience in discussion with the instructor. Due to time-tabled laboratory supervisions of advanced material, the number of students registered on this module may be capped according to lab capacity.

Textbooks

P. Wilmott, Paul Wilmott (2007). Paul Wilmott Introduces Quantitative Finance. Wiley.

P. Brandimarte (2006). Numerical methods in finance and economics. Wiley.

Satoshi Nakamoto (2008). Bitcoin: A Peer-to-Peer Electronic Cash System.

Andreas M. Antonopoulos (2014). Mastering Bitcoin: Unlocking Digital Cryptocurrencies. O'Reilly Media.

J. C. Hull (2017). Options, Futures and other Derivatives. Pearson.

Assessment

Summative

This is how we’ll formally assess what you have learned in this module.

Breakdown
Method	Percentage contribution
Continuous Assessment	25%
Final Assessment	75%

Referral

This is how we’ll assess you if you don’t meet the criteria to pass this module.

Breakdown
Method	Percentage contribution
Set Task	100%

Repeat

An internal repeat is where you take all of your modules again, including any you passed. An external repeat is where you only re-take the modules you failed.

Breakdown
Method	Percentage contribution
Set Task	100%

Repeat Information

Repeat type: Internal & External