Module overview
This module provides a hands-on introduction to modern computational finance, with an emphasis on practical skills useful in the industry. It is in two parts, roughly corresponding to the “buy” and “sell” sides of the industry. Part One introduces tools of portfolio management and algorithmic trading, such as yield curve bootstrapping, mean-risk optimization, and the use of Machine Learning in trading strategies. Part Two is focused on the use of Monte Carlo simulation in risk management and valuation, including topics such as simulation, risk limits, stress testing, capital management and regulatory compliance. Although no knowledge of programming will be assumed, Python code will be used in examples and demonstrations from the outset, and students will be required to submit programs as part of the assessment.