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)
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1 and
2
9/9 Forward Contracts (Hull ch 5.1-5.10 or Wilmott 2.1-2.10)
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1,
2
and
3
9/11 Futures and Options (Hull ch. 5.11-5.14, ch. 8)
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1 and
2.
9/16 Properties of Stock Options (Hull ch. 9)
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1,
2
and
3
9/18 Portfolios with of Stock Options
(Hull ch. 10.1-10.5)
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1,
2
and
3
9/23 Bounds on Option Prices (Hull ch. 9)
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1,
2
and
3
9/25 Interest Rates (Hull ch. 4 and ch. 22.1-22.4)
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1,
2
and
3
9/30 Random Walk Models (Hull Chapter 19)
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1,
2
and
3
10/2 Price Distributions (Hull Chapter 8)
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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)
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1,
2
and
3
10/16 The Black Scholes Model (Hull Chapter 13)
1 and
2
DATA ANALYSIS
10/21 Financial Time Series Data
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2
and
3
10/23 Correlation and Autocorrelation
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1,
2
and
3
10/28 Time Series Modeling (Hull Chapter 21.1-21.4)
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1,
2
and
3
10/30 ARIMA/GARCH Models (Hull Chapter 21.3-21.7)
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1,
2
and
3
11/4 The R Statistics Library
11/4 Spectral Analysis
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2
and
3
11/6 The CRSP Financial Time-Series Database
11/6 Option Pricing Software and Quantlib
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1,
2
and
3
TRADING STRATEGIES
11/11 Portfolio Theory
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1,
2
and
3
11/13 The Capital Assets Pricing Model
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1
and
2.
11/18 Technical Analysis
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1,
2
and
3
11/20 Introduction to Online Algorithms
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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