Introductory description

The module provides an introduction to financial analytics by applying various (analytical, statistical and mathematical) techniques to financial market and investment portfolios. As an important aspect of financial analytics we introduce various modelling and solving approaches for decision making problems arising in finance. We look at the analytics process from data management, modelling and computational tools perspectives. We will review various widely used approaches to portfolio analytics and introduce modelling approaches for portfolio analytics system design. The theoretical and practical aspects of various approaches will be motivated through underlying financial decision making problems using the financial market data and complexities of financial decision making problems will be addressed.
This module doesn’t require any prior knowledge of finance and is designed for beginners in this subject.

Module aims

Outline syllabus

This is an indicative module outline only to give an indication of the sort of topics that may be covered. Actual sessions held may differ.

Some topics to be covered in this module may include:

• Introduction to investment theory (time value of money)
• Asset valuation (fixed income securities, equities, and their valuations)
• Asset allocation problem (single-period mean-variance portfolio optimization)
• Asset pricing models (such as CAPM and APT)
• Practical issues for portfolio/risk management (such as parameter estimation, robust asset allocation, risk management models)
• Liability driven portfolios (such as asset and liability management, corporate debt management)
• Derivatives (forwards, futures, options)

Learning outcomes

By the end of the module, students should be able to:

• Demonstrate a comprehensive understanding of various analytics concepts commonly used in finance
• Demonstrate an understanding of theoretical and practical aspects of modelling and solving financial problems
• Critically evaluate the strengths and weaknesses of different approaches
• Analyse and evaluate case studies and model and solve the underlying problems effectively

Indicative reading list

Reading lists can be found in Talis

Subject specific skills

Evaluate and apply analytics to financial decision making problems
Develop and demonstrate modelling skills to formally describe and model typical financial problems
Appraise, evaluate and then use a range of modelling and solution approaches for typical financial decision making problems

Transferable skills

Demonstrate problem solving skills and implementation of computational tools