teaching

Courses I teach

Securities and Derivatives

This module is a 2-semester course on the BSc Banking and Finance at Middlesex University. It covers the mechanics of bond, equity and derivatives markets, and on asset pricing. The assets considered are fixed income instruments, equities, options, futures and forwards, interest rate and exchange rate swaps, commodities and energy derivatives. Students who already trade in financial markets will be able to draw on their experiences to reflect on how fixed-income analytics and/or derivatives theory can inform their practice. For students who do not trade, alternative topics will include (i) managing, and reporting on the performance of, a portfolio of existing securities and derivatives, (ii) pricing exotic derivatives, such as weather, electricity, cryptocurrencies, using simulations based on existing data. Obtaining and using financial data available on Bloomberg, Yahoo Finance, or Datastream is compulsory. Using Excel, and coding in Python or R is strongly encouraged.

References

  • Fabozzi, F. Bond markets, analysis and strategies, 9th Ed. Pearson.
  • Hull, John C, (2011), Options, Futures and Other Derivatives, 8th ed, Prentice Hall.

Applied Computational Finance

This module is a 2-semester elective course on the BSc Banking and Finance at Middlesex University. The first semester provides a practical understanding of automated trading in Python, whilst developing coding skills applied to option pricing, portfolio and volatility management. The second semester is dedicated to applications of multivariate GARCH modelling and portfolio selection with R. An important focus of the module is the development of coding skills aimed at retrieving real-time data from internet sources and and processing in Python and R.

See lectures here

References

  • Lewison, E. (2020), Python for Finance Cookbook, Packt Publishing.
  • Perlin, M. (2020) Analyzing financial and economic data with R, Amazon.
  • Fantazzini, D. (2019) Quantitative finance with R and cryptocurrencies.

Applied Econometrics

This module is a 1-semester Masters course on the MSc Banking and Finance and MSc Investment and Finance at Middlesex University. It covers the basics of econometrics: cross-section analysis, time-series, and panel data analysis.

References

  • Wooldridge, J. (2019), Introductory Econometrics: A Modern Approach, 7th Ed. Cengage Learning.
  • Brooks, C. (2014) Introductory Econometrics for Finance, 3rd Edition, Cambridge University Press.
  • Wooldridge, J. (2010) Econometric Analysis of Cross Section and Panel Data: Second Edition (The MIT Press)