CF966-7-SP-CO:
Financial Engineering and Risk Management
2023/24
Computational Finance and Economic Agents (Centre for)
Colchester Campus
Spring
Postgraduate: Level 7
Current
Monday 15 January 2024
Friday 22 March 2024
15
22 March 2023
Requisites for this module
(none)
(none)
(none)
(none)
(none)
MSC N30312 Computational Finance
In this module the student having obtained the required knowledge in traditional topics in derivatives and asset pricing in earlier modules taken, will progress to advanced topics involving models for risk management and derivatives pricing.
Topics here include computational methods in option pricing, interest rate models, credit risk models, and a brief introduction to machine learning in finance.
The aim of this module is:
- To apply financial engineering methods from previous modules to more advanced topics involving analysis of models, risk management, and derivative pricing.
Upon successful completion of the module, students are expected:
- To have a solid knowledge of cutting-edge theories.
- To have the computational skill which enables them to solve problems in a real-world situation.
No additional information available.
Lectures will be followed by a lab session where the ideas will be put into practice. In some of the lab sessions we will use Python.
The above list is indicative of the essential reading for the course.
The library makes provision for all reading list items, with digital provision where possible, and these resources are shared between students.
Further reading can be obtained from this module's
reading list.
Assessment items, weightings and deadlines
| Coursework / exam |
Description |
Deadline |
Coursework weighting |
| Coursework |
Progress Test |
|
100% |
| Exam |
Main exam: In-Person, Open Book (Restricted), 120 minutes during Early Exams
|
| Exam |
Reassessment Main exam: In-Person, Open Book (Restricted), 120 minutes during September (Reassessment Period)
|
Exam format definitions
- Remote, open book: Your exam will take place remotely via an online learning platform. You may refer to any physical or electronic materials during the exam.
- In-person, open book: Your exam will take place on campus under invigilation. You may refer to any physical materials such as paper study notes or a textbook during the exam. Electronic devices may not be used in the exam.
- In-person, open book (restricted): The exam will take place on campus under invigilation. You may refer only to specific physical materials such as a named textbook during the exam. Permitted materials will be specified by your department. Electronic devices may not be used in the exam.
- In-person, closed book: The exam will take place on campus under invigilation. You may not refer to any physical materials or electronic devices during the exam. There may be times when a paper dictionary,
for example, may be permitted in an otherwise closed book exam. Any exceptions will be specified by your department.
Your department will provide further guidance before your exams.
Overall assessment
Reassessment
Module supervisor and teaching staff
Dr Themistoklis Melissourgos, email: themistoklis.melissourgos@essex.ac.uk.
Dr Themistoklis Melissourgos
School Office, email: csee-schooloffice (non-Essex users should add @essex.ac.uk to create full e-mail address), Telephone 01206 872770
Yes
No
No
Dr Anna Jordanous
University of Kent
Senior Lecturer
Available via Moodle
Of 40 hours, 20 (50%) hours available to students:
18 hours not recorded due to service coverage or fault;
2 hours not recorded due to opt-out by lecturer(s), module, or event type.
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