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PROPOSED COURSE OF ACTION-PPLICATION OF ROBOTICS AND OTHER
INTELLIGENCE SYSTEMS
TO OPTIONS PRICING AND TRADING STRATEGIES IN AN ARBITARGE
ENVIRONMENT
MPHIL Course description READING LIST AND
REFERENCES
Proposed
professional body for
approach
semester
1 Financial computing 1 C++primerLippman
NumericalRecipes in c++pree
BSE/MOTSWEDI/ 1
Numerical methods wilmot 1
2 Stochastic Calculus for Finance Shreve volume 1&2
BSE/MOTSWEDI/ 1
3 Statistical Arbitrage Seek help from
professional hedgefunds[up??]
BSE/MOTSWEDI/ 1
4 Mathematical Methods in Finance BSE/MOTSWEDI/ 1
5 Regressional Analysis and FinancialModels
BSE/STATS BOTS 1
6. Financial Time Series Analysis Brockwell introto time
seriesand forecasting
Chan-time seriesapplication tofinace
BSE/STATS BOTS 2
7 Financial Computing ii Teorey databasemodelling anddesign
Josutties thec++standardlibrary
Gamma-designpatterns
Effective c++-meyers
C++ commonknowledge-dewhurst
BSE 2
8 Quantitative Risk Management MARSH 4
9 Term Structure Analysis Moorad choudhary BSE 2
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PROPOSED COURSE OF ACTION-PPLICATION OF ROBOTICS AND OTHER
INTELLIGENCE SYSTEMS
TO OPTIONS PRICING AND TRADING STRATEGIES IN AN ARBITARGE
ENVIRONMENT
10 Fixed Income BruceTuckman/sundaresan
DEVRE 2
FINANCIAL OPTIMISATION MODELS Optimisationmethods
infinance-tutuncu
Active portfoliomanagement grinold
Strategic assetallocatiom-kahn
2
11 Statistical Inference STATSBOTS/STOCKBROKERS
2
12 Advanced Derivative Theory Gatheral-the volatilitysurface
BSE/STOCKBROKERSBOTS/MOTSWEDI
3
13 Modern Portfolio Theory
and Investment Analysis
ALLANGRAY/STANDARD
3
14 Statistical Inference
for Financial Engineering
STANDARD/BSE 3
15 Statistical Machine Learning
for Financial Data
STATS BOTS 3
16 Simulation Methods
for Options Pricing
BSE/ALLANGRAY/STANLIB
3
17 Corporate Finance Jonathan Berk-corporatefinance
BOB/STANLIB 3
18Financial Economics & ComputationalFinance
19 Macro Economics For COMPUTATIONALFINANCE
BOB/STANLIB 3
19 Options
Insurance underwriting[professional qual]
wilmott
INSURANCE
3
20 Dependent Risk Models denuitt MARSH/INSURANCE 4
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PROPOSED COURSE OF ACTION-PPLICATION OF ROBOTICS AND OTHER
INTELLIGENCE SYSTEMS
TO OPTIONS PRICING AND TRADING STRATEGIES IN AN ARBITARGE
ENVIRONMENT
MATHEMATICAL AND STATISTICALMETHODS FOR FINANCE AND
ACTUARIALSCIENCES
Marco Corazza andClaudio Pizzi
21 Modelling Extremal Events MARSH/INSURANCE 4
22 Financial Products and Markets Karen
Berman-Financialintelligence
Moorad+?? Capital markets
for quantitativeprofessionals-
kuznetsov
BSE 4
23 Financial Engineering and Computation 2,3 and 4
24 REGULATION NFBIRA/BOB 4
HOW DO WE SHOW COMPETENCE?
THE MEASURING INSTRUMENT
1.write 3 papers of journal publishing quality, create one
instrument and the tradingplatform write an essay on the
implications of algorithmic trading and regulation.Critically
evaluate the Botswana legal framework, The south African system and
other emerging markets.[this should be a high quality paper of
publishable standard]
2 Student/Supervisor should obtain live or dead cases for
evaluation andpresentation to a panel of experts. Aim to
demonstrate rigorous mathematics and theability to transfer that
into useable information.
