Applied Computational Finance

This information is for the 2018/19 session.

Teacher responsible

Mr Bruce Iwadate


This course is available on the MSc in Accounting and Finance, MSc in Finance (full-time), MSc in Finance (full-time) (Work Placement Pathway), MSc in Finance and Economics, MSc in Finance and Economics (Work Placement Pathway), MSc in Finance and Private Equity, MSc in Finance and Private Equity (Work Placement Pathway) and MSc in Quantitative Methods for Risk Management. This course is available with permission as an outside option to students on other programmes where regulations permit.

FM457A is intended for students taking FM442 Quantitative Methods for Finance and Risk Analysis and FM404 Forecasting Financial Time Series. 

FM457B is available to students on the MSc Finance (Full-time), MSc Finance and Private Equity, MSc Finance and Economics and MSc Risk and Finance programmes.

Course content

This course is an introduction to computational methods in finance; the course mainly focuses on Matlab but then introduces other programming languages. We will begin with an introduction to basic Matlab. We will then learn how to simulate individual securities, with a special focus on the predictability and fat tails features of volatility. Simultaneously we will examine the data to test how well our models approximate the real world. Next we will move onto modeling portfolios of multiple securities and test the CAPM and the Fama-French three factor model; we will also test for long term predictability in asset prices. Finally we will use numerical techniques to price options and to construct a yield curve.


FM457A: 10 hours of seminars in the MT.

FM457B: 10 hours of seminars in the MT.

Indicative reading

Teaching notes will be distributed.


This is an additional, non-assessed computer course to supplement MSc level courses in the Department of Finance.

Key facts

Department: Finance

Total students 2017/18: Unavailable

Average class size 2017/18: Unavailable

Controlled access 2017/18: No

Value: Non-credit bearing

Guidelines for interpreting course guide information

Personal development skills

  • Problem solving
  • Application of information skills
  • Application of numeracy skills
  • Commercial awareness
  • Specialist skills