COMP7802B - Introduction to financial computing

Semester 1, 2017-18

Instructor
Mr. Peter T.L. Ng
Teaching assistant
Mr. Chun Fai Chan
Syllabus This course introduces the students to different aspects of financial computing in the investment banking area. The topics include yield curve construction in practice, financial modelling and modern risk management practice, etc. Financial engineering is an area of growing demand. The course is a combination of financial product knowledge, financial mathematics and computational techniques. This course will be suitable for students who want to pursue a career in this fast growing area.
Introduction by Instructor This course is to introduce the financial mathematics concepts, product pricing basics and modern risk management in practice. The relevant financial modeling applications will be taught in the class making use of Excel spreadsheet in practice.

The assignment and project are designed in the way to enable the student to acquire course knowledge through doing the pricing models in practice. This is to ensure the student would understand the core knowledge and concept of the product pricing after the course.
Learning Outcomes
Course Learning Outcomes Relevant Programme Learning Outcomes
CLO1. Able to master the financial modelling process and its application in practice to provide solution to valuation of various financial products with basic understanding of the underlying principle and market practice. PLO.4, 7, 12, 13
CLO2. Able to identify the appropriate financial computing methodology to design and validate the appropriateness of the financial instrument pricing models with Excel spreadsheet in practice. PLO.4, 7, 12, 13
View Programme Learning Outcomes
Pre-requisites This course does not require any prior knowledge in the area of finance. Basic calculus and numeric computational techniques are useful. Knowledge in Excel spreadsheet operations is required to complete the assignments and final project.
Compatibility Students who have taken "ELEC7079 Investment and trading for engineering students" should not be allowed to take COMP7802.
Topics covered
Course Content No. of Hours Course Learning Outcomes
1. Introduction and Basic of Financial Modeling 1.5 CLO1, CLO2
2. Basic Financial Mathematics 1.5 CLO1, CLO2
3. Money Market Instruments 3 CLO1, CLO2
4. FRA & Interest Rate Future 3 CLO1, CLO2
5. Swaps and pricing 3 CLO1, CLO2
6. Yield Curve Construction 3 CLO1, CLO2
7. Option Basics 3 CLO1, CLO2
8. Option Pricing Models (I) 4 CLO1, CLO2
9. Option Pricing Models (II) 3 CLO1, CLO2
10. Option Greeks and Risk Management 2 CLO1, CLO2
11. Modern Risk Management in Practice 3 CLO1, CLO2
 
Assessment
Description Type Weighting * Examination Period ^ Course Learning Outcomes
2 Individual assignments Continuous Assessment 15% each - CLO1, CLO2
Quiz Continuous Assessment 20% - CLO1
Written Examination Written Examination 50% Dec 8 to 23, 2017 CLO1
* The weighting of coursework and examination marks is subject to approval
^ The exact examination date uses to be released when all enrolments are confirmed after add/drop period by the Examinations Office.  Students must oblige to the examination schedule. Students should NOT enrol in the course if they are not certain that they will be in Hong Kong during the examination period.  Absent from examination may result in failure in the course. There is no supplementary examination for all MSc curriculums in the Faculty of Engineering.

For reference:
Course materials Recommended readings:
  • Mastering Financial Calculations (A step-by-step guide to the mathematics of financial market instruments) by Robert Steiner
  • Options Futures and Other Derivatives by John Hull
Session dates
Date Time Venue Remark
Session 1 2 Sep 2017 (Sat) 2:00pm - 5:00pm CB-A  
Session 2 9 Sep 2017 (Sat) 2:00pm - 5:00pm CB-A  
Session 3 16 Sep 2017 (Sat) 2:00pm - 5:00pm CB-A  
Session 4 23 Sep 2017 (Sat) 2:00pm - 5:00pm CB-A  
Session 5 23 Sep 2017 (Sat) 6:30pm - 9:30pm CB-A  
Session 6 30 Sep 2017 (Sat) 2:00pm - 5:00pm CB-A  
Session 7 7 Oct 2017 (Sat) 2:00pm - 5:00pm CB-A  
Session 8 14 Oct 2017 (Sat) 2:00pm - 5:00pm CB-A  
Session 9 11 Nov 2017 (Sat) 2:00pm - 5:00pm CB-A  
Session 10 18 Nov 2017 (Sat) 2:00pm - 5:00pm CB-A  
CB - Chow Yei Ching Building
Add/drop 1 September, 2017 - 14 September, 2017
Quota 100
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