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University of Melbourne

Areas of Study

Numerical Techniques in Finance

  • FNCE90010
  • Contact Hours: 3 hours of classes per week plus 3 hours of seminars duringthe semester
    Total Time Commitment: Estimated total time commitment of 120 hours per semester
  • 12.50
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Numerical Techniques focuses on the theory and application of numerical methods for solving financial problems. The applications may include option valuation, value at risk, term structure modelling, portfolio simulation and optimization and capital budgeting. These applications motivate the study of matrix methods, the solutions of linear and nonlinear equations, interpolation and approximation methods, numerical integration and Monte Carlo methods. No prior programming experience is required as the principles of programming are covered. -- Course Website

Prerequisites: Entry into the Master of Commerce (Finance)



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