University of Malta

Study-Unit Description
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TITLE Introduction to Computational Finance

LEVEL 01 - Year 1 in Modular Undergraduate Course


DEPARTMENT Banking and Finance

DESCRIPTION This study-unit will introduce students to the area of Computational Finance, financial markets, as well as providing a detailed introduction to the quantitative methods that are a pre-requisite to other modules in the Degree I.T and Finance.

Students are introduced to various concepts such as High frequency finance, market microstructure, and concepts in financial markets such as equities, bonds, interest rates, forwards, futures and foreign exchange. Applications of calculus and statistical methods to finance are presented.

The content and pace of the unit is best suited for students (undergraduates) with strong mathematical skills.

Study-unit Aims:

The study-unit aims to teach students the foundations required to use computational Finance methods and their applications. The study-unit itself is theoretical in nature.

Learning Outcomes:

1. Knowledge & Understanding:
By the end of the study-unit the student will be able to:

- Comprehend automated trading, market microstructure, and will be able to test their applicability and grasp the intuition behind the arsenal of models that attempt to capture them;
- Comprehend financial Engineering, and will also have a practical understanding of important quantitative methods, and knowledge of some basic trading strategies.

2. Skills:
By the end of the study-unit the student will be able to:

- Provide critical analysis of current models;
- Propose improvements to existing trading platforms and strategies.

Main Text/s and any supplementary readings:

1. Aldridge (2010), High-Frequency Trading, Wiley.
2. Bauwens and Giot (2001): Econometric Modelling of Stock Market Intraday Activity, Kluwer Academic.
3. Dacorogna et al. (2001): An Introduction to High Frequency Finance, Academic Press.


Assessment Component/s Resit Availability Weighting
Assignment Yes 20%
Examination (2 Hours) Yes 80%


The University makes every effort to ensure that the published Courses Plans, Programmes of Study and Study-Unit information are complete and up-to-date at the time of publication. The University reserves the right to make changes in case errors are detected after publication.
The availability of optional units may be subject to timetabling constraints.
Units not attracting a sufficient number of registrations may be withdrawn without notice.
It should be noted that all the information in the study-unit description above applies to the academic year 2017/8, if study-unit is available during this academic year, and may be subject to change in subsequent years.
Semester 1 Time-table 2017/8 - Day Courses
Time-tables for Day Courses for the Academic Year 2017/18 - Semester 1
Semester 1 Time-table 2017/18 - Evening Courses
Time-tables for Evening Courses for the Academic Year 2017/18 - Semester 1
FEMA Day Examination Timetable
Examination time-table for Day Courses - January 2018
FEMA Evening Examination Timetables
Examination time-table for Evening Courses January 2018
JAYE 2017-2018
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