Computational Finance by https://padlet.com/adamaria_perrotta/shdee69nc71z en-us 2018-10-30 10:27:35 UTC 2025-03-17 00:49:00 UTC hello@padlet.com https://padlet-assets.s3.amazonaws.com/icons/Manbag.png ACM30070 Computational Finance adamaria_perrotta https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298412989 This module, core in stage 3 semester 2 FM degree, is built on Partial Differential Equation (ACM30220 - stage 3 semester 1) and is complementary to Foundations for Financial Mathematics (MATH20180). Its goal is to provide a practitioner-oriented education in implementing financial models used in derivatives pricing.
In terms of software skills, students will learn how to implement financial models with:
  • Excel;
  • Visual Basic for Applications (VBA);
  • Python.
]]> 2018-10-30 10:44:16 UTC https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298412989 The Background adamaria_perrotta https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298422150 So far students have attended modules on
  • Pure Mathematics
  • Statistics
  • Coding
  • Finance
but they have not used yet all of these tools together to study a real financial problem!

Students will learn how to analyze a real financial problem in order to choose/create a mathematical model which can describe it and then how to write a code to solve it. 

They will learn how Pure and Applied Mathematics, Statistics and Coding can work all together to solve a real financial problem and use the results to double-check the robustness of themodel. 
]]> 2018-10-30 11:23:38 UTC https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298422150 Learning Outcomes and Aims of the module adamaria_perrotta https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298435499 The core aims of the module are:
  • Introduce students to real word financial problems and provide them the expected preparation from an employer point of view.
  • Develop student abilities to link theory to practice.
  • Develop student abilities to distill, synthesize and communicate key skills.
  • Develop team work and project management skills.
  • Develop student abilities to critically review relevant research and evaluate the contribution of a financial mathematical model.
  • Critically understanding the relationship between mathematical symbols, mathematical models, code, input and output market data and their meaning.
  • Analyze and integrate information from many disciplines and use it correctly for problem solving.
 
]]> 2018-10-30 12:04:16 UTC https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298435499 The "power" of this module :) adamaria_perrotta https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298445918 Howard Gardner of Harvard has identified seven distinct intelligences. This theory has emerged from recent cognitive research and "documents the extent to which students possess different kinds of minds and therefore learn, remember, perform, and understand in different ways."

Some students tend to struggle with pure mathematical modules and enjoy practical ones or the reverse.

This module is a mixture of theory and practice: usually students tend to find a "comfort zone" in one of these two areas which makes them more confident to challenge themselves to improve on the other area.
Moreover students will work in groups, so they will build knowledge with their peers through discussion and comparison.

]]> 2018-10-30 12:26:31 UTC https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298445918 Threshold concepts in Computational Finance adamaria_perrotta https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298454212 "Threshold concepts are
akin to a portal opening up a new and previously inaccessible way of thinking about something. It represents a transformed way of understanding or viewing something without which the learner cannot progress (Meyer and Land, 2006,3)."

I have developed the Computational Finance module in order to incorporate the following threshold concepts in Finance:
  • Pricing
  • Time value of Money
  • Valuation
  • Arbitrage
  • Expected Value
  • Change of Measure
  • Risk Neutrality
  • Ito's Lemma and Brownian Motion
  • Risk versus Return
  • Hedging
(Diamond and Smith, 2011), (Hoadley et al. 2015, 2016), (Khalo et al. 2015).

These concepts will be the "jewels in the curriculum" and have inspired me in the development of the syllabus.
]]> 2018-10-30 12:42:49 UTC https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298454212 Module Outline and Schedule adamaria_perrotta https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298462771
  • A concise introduction to arbitrage, expected value and option pricing. (Week 1)
  • The Black-Scholes-Merton Model and Option Greeks. (Week 2-3; Excel and VBA)
  • Option Pricing by Binomial Trees (Week 4-6; Excel, VBA and Python)
  • Option Pricing by Monte Carlo Methods. (Week 7-9; Python)
  • Option Pricing by Finite Difference Methods. (Week 10-12; Python)

    • These topics will be developed in 25 Classes, 2 each Week (exception: 3 in Week 1), 50 Minutes each plus 11 Tutorials, 1 each Week, 50 Minutes each.

    For each topic we will start from a practical financial problem (matching the contest), e.g. how to price a call option and develop the mathematical model to study it. Then, the implementation of an algorithm with a computer programming language will complete the cycle, with a critical interpretation of the results.

    Under the light of integrative learning, chapters 2 and 3 will also be developed in MATH20180 with a different approach. Moreover, chapters 2 and 4 can be seen as an application to Finance of the pure mathematical models developed in ACM30220.
    ]]>     2018-10-30 12:59:37 UTC https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298462771     Why VBA? Why Python? adamaria_perrotta https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298486052
    Excel and VBA because:
    • In the financial industry, VBA for Excel is frequently used to create and maintain complex financial spreadsheet models. 
    • It is very intuitive, thus allowing users with little or no computer programming knowledge to learn it.
    • It is pretty easy to create a user interface if you are trying to build a tool for someone else to use...
    • If your clients are heavy user of the Microsoft Office Suite, they will appreciate VBA tools being built into their existing spreadsheets and documents. They will especially appreciate the fact that you automated a report they already receive.
    • VBA works on Microsoft Windows, and UCD students have free licence!

    Python because: 

    • Python programming is easy to learn, the code is quite compact and in general highly readable. When it comes to numerical or financial algorithm implementation, the syntax is pretty close to mathematics.
    • There is a wealth of powerful libraries available and the supply grows steadily; there is hardly a problem that cannot be easily tackled with an existing library!
    • Python is an interpreted language which makes rapid prototyping and development in general a bit more convenient, especially for beginners.
    • Python and the majority of available libraries are completely free and open source; this in particular allows an entry to this technology at no cost!
    • Large financial institutions like Bank of America, Merrill Lynch and J.P. Morgan have millions of lines of Python code in production, mainly in risk management; Python is also really popular in the hedge fund industry.

    ]]>     2018-10-30 13:29:57 UTC https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298486052     References adamaria_perrotta https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298504991 I will provide slides and lecture notes. So students do not need to buy any book. However, I referred to: 
    • Options, Futures, and other Derivatives, by John C.Hull.
    • The Concept and Practice of Mathematical Finance, by Mark Joshi.
    • Arbitrage Theory in Continuous Time, by Tomas Björk.
    • Numerical Methods in Finance and Economics, by Paolo Brandimante.
    • Monte Carlo Methods in Finance, by Paul Glasserman.
    • Implementing Models in Quantitative Finance: Methods and Cases, by Gianluca Fusai and Andrea Roncoroni.
    • Implementing Derivative Models, by Les Clewlow and Chris Strickland.
    • Implementing Models of Financial Derivatives, by Nick Webber.
    ]]>     2018-10-30 13:59:38 UTC https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298504991     Python in Industry adamaria_perrotta https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298516157 2018-10-30 14:15:24 UTC https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298516157 ACM30070 Lectures adamaria_perrotta https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298548351 ACM30070 is designed in order to be accessed, understood and used by all people. Under the light of Universal Design, the module will be:

    Simple & Intuitive: The 1st class will be entirely devoted to the description of the module. I will introduce background, learning outcomes, methodologies, the syllabus with its schedule and provide the calendar for assessment and the grading scale.

    Equitable in use: The slides and notes for lectures will be uploaded on Brightspace before each class (pre-activation of the learning). The topics will be described through multiple means of representation (videos, images, graphs) and will refer explicitly to prior or related knowledge (see also Module Outline and  Schedule).

    In addition to notes and slides I am going to provide an appendix with glossaries, definition of symbols etc...

    Flexibility in Use, A community of Learners: the lectures will be all given in A.L.E.; there are multiple reasons for this choice. Each topics will be introduced by starting from a practical problem, so the first part of each class will be devoted to brainstorming and group discussion (knowledge as process of construction between peers). Moreover, I want to be flexible in my schedule, so that I can alternate theoretical and practical classes in relation to students needs. In an A.L.E. I have the freedom to adapt the lectures "on the road".]]>     2018-10-30 15:01:29 UTC https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298548351     ACM30070 Tutorials adamaria_perrotta https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298566903 Tutorials will be fundamental in the development of the curriculum because they are devoted to coding.

    In order to activate the independent and prior learning, each code will be uploaded on Brightspace (in .pdf format, not allowing copy and paste), few days before the tutorial.
    Students have to edit it by themselves at home in the required coding language and will be asked to "play with the code" by changing input data and analyzing results, graphs, errors.

    In the first part of the Tutorial students, divided in groups, will discuss their outcomes. In the second part of the Tutorial, I will act as "moderator", I will collect of the information raised from the discussion and add my personal comments.

    After the Tutorial, I am going to upload on Brighspace an "annotated reading code",  a document containing the code and all comments and ideas discussed in class.]]>     2018-10-30 15:26:11 UTC https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298566903     Assessment adamaria_perrotta https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298574991 The assessment of the module is based on:
    • Continuous Assessment (25%)
      • 2 Homework (5% in total, 2.5% each)
      • 1 Mid-term (10%)
      • 1 Group Activity (10%)


    • Final Exam (75%)

    For each component of the assessment, the breakdown of the marks is provided.

    Assessment Calendar
    • Week 3 - Homework based on Chapter 1 and 2. Due after 1 week.
    • Week 7 - Mid-term. The exam will cover the first 6 weeks of lectures/tutorial.
    • Week 7 - Tutorial: the hour will be entirely devoted to the introduction of the Group Activity. tudents will have to present the results of the activity in week 11.
    • Week 9 - Homework based on Chapter 3 and 4. Due after 1 week.
    ]]>     2018-10-30 15:37:39 UTC https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298574991     Continuous Assessment in Details adamaria_perrotta https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298584098 Homework
    The self-assessment is an essential activity to help students to take responsibility for their own learning.  In order to develop critical and creative thinking and problem solving skills, the homework will be based on:
    • Reflective and critical questions (based on why instead of what, provide an example of...)
    • Practical exercises (e.g. suppose a financial institution has the following three positions in options on a stock...)
    • Modification of the studied codes

    Mid-term
    The Mid-term will cover half of the curriculum and will be very similar to the final exam. Students cannot bring notes, slides and any kind of learning materials.
    Students must show that they can manage time and critically evaluate their learning in relation to the choice of the questions to answer to. I decided to do the Mid-term before the two-week break, so that during the break students have the opportunity to review the topics that they found more challenging.

    Feedback
    I am going to provide for homework and mid-term several kind of post-assessment feedback, in order to have both a summative and formative assessment.

    • Individual Feedback : I will explicitly mark the mistakes on each paper and add a comment beside them.
    • Group Feedback: I will discuss in class about most common mistakes.
    • Online Feedback: I will provide on Brightspace full solutions of assessment.
    ]]>     2018-10-30 15:51:25 UTC https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298584098     Quantitative Finance in Movies adamaria_perrotta https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298590301 From "The Big Short", 2015]]> 2018-10-30 16:00:31 UTC https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298590301 Group Project adamaria_perrotta https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298612363 There are 49 students registered to ACM30070. I will split them into 7 groups of 7 students each. The groups will be based on previous grades and on gender equality. 

    The aims of the group activity are:
    • Stimulate Learning through peers;
    • Stimulate inclusion, creativity, team work and project management skills;
    • Stimulate communicative skills.
    The activity will be described before the two-week break and will be due on week 11.

    The activity will be proposed as follow:

    "Imagine you are a team of quants working for J.P. Morgan. One of your client asked you to develop a code to price...
    You have 1 month to prepare a product that is usable and shareable with your client. You have not only to prepare a code but also a PowerPoint presentation to convince your client to buy your software.
    You can consider a variety of formats for your campaign (storyboard, cartoon, video...).
    Your PowerPoint must describe:
    - the Financial Background for your instrument;
    - The Mathematical framework of your model;
    - The code;
    - Numerical Results;
    - Pros and Cons of your software;
    - References

    The Financial Instrument and the mathematical model needed to solve the problem will not be covered in lectures, but can be deduced from prior learning through self and peers study. 
    I will provide book chapters and research papers as starting point for their research.

    The Tutorial in week 7 will be devoted to the description of the project, the 7 steps of PBL, the expected learning outcomes, and the grading scheme.

    In week 8-11 I will dedicate 30 min per week to check the work in progress. In general I will be available for clarifications also outside the class timetable.

    In week 11 I will schedule a slot of extra time to allow the students to share their presentations. 
    Each group will have 20 min for presentation plus 10 min for individual questions. 


    ]]>     2018-10-30 16:35:45 UTC https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298612363     SIG Prize adamaria_perrotta https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298652854 Award Name: Susquehanna International Group Prize 

    Award Description: The prize will be awarded to the student who obtains the highest mark in the module Computational Finance, ACM30070, if that mark is at least 70. In case two students deserve the highest mark, the prize will be split between the two.

    Award Type: Financial    

    Award Amount in €: 250               

    Programme: BSc in Financial Mathematics

    Presentation Ceremony: University Awards Day Ceremony

    ]]>     2018-10-30 17:36:42 UTC https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298652854     Meeting Financial Companies adamaria_perrotta https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298654540 In order to engage and motivate the students and make the study of Computational Finance as much  real-world and authentic as possible, I have organized two meetings with Financial Mathematics Companies. 

    • SIG Talk, on 02-11-2018. Fiona Roche will do a talk and announce the winner of the SIG Prize 17/18. (Before the start of the module)
    • FM Afternoon, on 08-03-2019 Talks given by J.P. Morgan and Morgan Stanley quants. 

    The events are part of a series of meetings with financial companies aimed to show students what they can potentially do after a degree in Financial Mathematics (or much more generally after a Maths/Stats degree). It is an occasion in which they can understand which kind of professional would become.

    The talks will not be technical at all, the speakers are going to describewhat they usually do in their companies, what they are looking for and what they expect from a new employee.
    ]]>     2018-10-30 17:39:00 UTC https://padlet.com/adamaria_perrotta/shdee69nc71z/wish/298654540