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DATA610

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Advanced Modelling of Financial and Energy Markets Data

Computer Science SC - Faculty of Science

Subject

DATA - Data Science

Description

More advanced coverage of tools and techniques for modelling of financial and energy markets data. Topics will include: modelling of dynamics for forwards and futures in energy and options in financial markets data; Black-76 and Margrabe's formulas for pricing of futures and options contracts; modelling paradigms beyond Black-76; data modelling with stochastic interest rates; one-, two- and three-factor Schwartz's models (with stochastic convenience yield and interest rate) for pricing forward and futures data in energy markets; modelling of high-frequency and algorithmic trading data.

Prerequisite(s): Data Science 601, 602, 603 and 604, and admission to the Graduate Diploma in Data Science and Analytics or the Master of Data Science and Analytics with a specialization in Financial and Energy Markets Data Modelling.

Course Attributes

Fee Rate Group(Domestic) - H, Fee Rate Group(International) -G, GFC Hours (3-0)

Courses may consist of a Lecture, Lab, Tutorial, and/or Seminar. Students will be required to register in each component that is required for the course as indicated in the schedule of classes. Practicums, internships or other experiential learning modalities are typically indicated as a Lab component.

Component

LEC

Units

3

Repeat for Credit

No

Subject code

DATA

Understanding Course Information

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