Lecture Schedule: Computational Finance (COMP 510)

OPTION THEORY

9/2 Course overview (Hull ch. 1 or Wilmott ch. 1.1-1.5) Video links, parts 1 and 2
9/4 Financial Markets and Products (Hull ch.2 or Wilmott ch. 1.6-1.11) Video links, parts 1 and 2

9/9 Forward Contracts (Hull ch 5.1-5.10 or Wilmott 2.1-2.10) Video links, parts 1, 2 and 3
9/11 Futures and Options (Hull ch. 5.11-5.14, ch. 8) Video links, parts 1 and 2.

9/16 Properties of Stock Options (Hull ch. 9) Video links, parts 1, 2 and 3
9/18 Portfolios with of Stock Options (Hull ch. 10.1-10.5) Video links, parts 1, 2 and 3

9/23 Bounds on Option Prices (Hull ch. 9) Video links, parts 1, 2 and 3
9/25 Interest Rates (Hull ch. 4 and ch. 22.1-22.4) Video links, parts 1, 2 and 3
9/30 Random Walk Models (Hull Chapter 19) Video links, parts 1, 2 and 3
10/2 Price Distributions (Hull Chapter 8) Video links, parts 1, 2 and 3

10/7 No class (Chung Yeung Festival)
10/9 Financial Market Turmoil and Its Implications for Hong Kong and China

10/14 Risk-Neutral Valuation (Hull Chapter 11) Video links, parts 1, 2 and 3
10/16 The Black Scholes Model (Hull Chapter 13) 1 and 2


DATA ANALYSIS

10/21 Financial Time Series Data Video links, parts 1, 2 and 3
10/23 Correlation and Autocorrelation Video links, parts 1, 2 and 3

10/28 Time Series Modeling (Hull Chapter 21.1-21.4) Video links, parts 1, 2 and 3
10/30 ARIMA/GARCH Models (Hull Chapter 21.3-21.7) Video links, parts 1, 2 and 3

11/4 The R Statistics Library
11/4 Spectral Analysis Video links, parts 1, 2 and 3
11/6 The CRSP Financial Time-Series Database
11/6 Option Pricing Software and Quantlib Video links, parts 1, 2 and 3

TRADING STRATEGIES

11/11 Portfolio Theory Video links, parts 1, 2 and 3
11/13 The Capital Assets Pricing Model Video links, parts 1 and 2.

11/18 Technical Analysis Video links, parts 1, 2 and 3
11/20 Introduction to Online Algorithms Video links, parts 1, 2 and 3

11/25 Competitive analysis for finance 1, 2 and 3
11/27 Pairs trading 1, 2 and 3

12/2 Market Microstructure 1, 2 and 3
12/4 Money management and the Kelly criteria 1 and 2


-/- Fractal Analysis
-/- Clustering and Pattern Recognition