Course syllabus - Java in Analytical Finance 15.0 credits

Java och analytisk finans

This syllabus is not current and will not be given any more

Course code: MMA710
Valid from: Autumn semester13 Autumn semester17
Level of education: Second cycle
Subject: Mathematics
Main Field(s) of Study: Mathematics/Applied Mathematics,
In-Depth Level: A1N (Second cycle, has only first-cycle course/s as entry requirements),
School: UKK
Ratification date: 2013-02-01

Objectives

Java technology is both a programming language and a platform. The aim of the course is teaching students the Java programming language and how to write Java programs using the Java Virtual Machine and the Java Application Programming Interface (API), thus making the students able to apply Java programming in solving problems from Financial Engineering.

Learning outcomes

At the end of the course the student is expected to be able to
- understand classes, objects, interfaces, packages, exceptions, collections, and use them while creating own Java programs.
- create Java applets with the SWING Graphical User interface.
- package applets using JAR and prepare them to run in a browser.
- create Java programs that implement advanced models of financial instruments using multinomial trees, numerical solutions of stochastic differential equations, and finite difference methods.

Course content

Introduction to Java technology. Installing Java development software and using it to create simple programs. The essential concepts and features of Java: object-oriented programming, language basics, classes and objects, interfaces and inheritance, numbers and strings, generics, packages. Essential Java classes: exceptions, basic input/output, concurrency, regular expressions, the platform environment. The Java collections framework. An introduction to SWING. Packaging and deployment Java programs. Creating class libraries in binomial trees, Monte Carlo simulation, finite difference methods and analytic approximation. Advanced models of financial insruments and their implementation in Java.

Teaching methods

Lectures, folder sessions and seminars.

Specific entry requirements

Introduction to Financial Mathematics 7,5 credits or equivalent. In addition Swedish course B/Swedish course 3 and English course A/English course 6 are required. For courses given entirely in English exemption is made from the requirement in Swedish course B/Swedish course 3.

Examination

Projects (PRO1), 9 credits, marks Pass (G) or Pass with distinction (VG)
Seminars (SEM1), 6 credits, marks Pass (G) or Pass with distinction (VG)

A student who has a certificate from MDH regarding a disability has the opportunity to submit a request for supportive measures during written examinations or other forms of examination, in accordance with the Rules and Regulations for Examinations at First-cycle and Second-cycle Level at Mälardalen University (2016/0601). It is the examiner who takes decisions on any supportive measures, based on what kind of certificate is issued, and in that case which measures are to be applied.

Suspicions of attempting to deceive in examinations (cheating) are reported to the Vice-Chancellor, in accordance with the Higher Education Ordinance, and are examined by the University’s Disciplinary Board. If the Disciplinary Board considers the student to be guilty of a disciplinary offence, the Board will take a decision on disciplinary action, which will be a warning or suspension.

Rules and regulations for examinations

Marks

Three-grade scale

Enviromental aspects

Mathematical methods that are used to analyse some specific environmental processes are discussed.

Course literature is preliminary until 3 weeks before the course starts. Literature may be valid over several terms.

Valid from: Autumn semester13

Decision date: 2013-07-29

Last update: 2013-08-09

Books

Zakhour, Sharon;

The Java Tutorial

ISBN: 978-0-13-276169-7 LIBRIS-ID: 13982098

768 s.

Web Addresses

Reference Literature

Hull, John;

Options, futures and other derivatives

ISBN: 978-0-13-500994-9 (pbk.) LIBRIS-ID: 10936621

822 s.

Barker, Philip.;

Java Methods for Financial Engineering [electronic resource] : Applications in Finance and Investment

ISBN: 9781846287411 LIBRIS-ID: 11427981