TTA-45046 Financial Engineering, 3 cr
Lisätiedot
Suitable for postgraduate studies.
Vastuuhenkilö
Juho Kanniainen
Opetus
| Toteutuskerta | Periodi | Vastuuhenkilö | Suoritusvaatimukset |
| TTA-45046 2018-01 | 4 |
Juho Kanniainen |
Exam and project work |
Osaamistavoitteet
A solid understanding of the mathematical basis of option pricing models is essential for understanding phenomena and pricing and hedging options in banks and financial institutions. After studying this course, the student can - Apply continuous and discrete-time models and methods to price and options and other derivatives - Implement derivative pricing models in Matlab or in some other environment - Understand the main results of recent scientific papers on the field - Implement Black-Scholes dynamics with complex derivative contracts
Sisältö
| Sisältö | Ydinsisältö | Täydentävä tietämys | Erityistietämys |
| 1. | Options and other derivatives: - Models in option pricing; - Stochastic models for underlying assets; - Interest rates dynamics; - Futures and Swaps - Exotic Options | ||
| 2. | Understanding mathematics in - Continuous-time processes; - Ito's lemma; - Multivariate processes | ||
| 3. | Practicalities: - Estimation - Calibration |
Ohjeita opiskelijalle osaamisen tasojen saavuttamiseksi
Exam 70% Projext Work 60%
Arvosteluasteikko:
Numerical evaluation scale (0-5)
Osasuoritukset:
Oppimateriaali
| Tyyppi | Nimi | Tekijä | ISBN | URL | Lisätiedot | Tenttimateriaali |
| Book | Options, Futures, and Other Derivatives | John Hull | ISBN: 978-0-13-345631-8 | 8th or 9th edition | Yes | |
| Book | The Concept and Practice of Mathematical Finance | Mark Joshi | 978-0521823555 | Alternative book | Yes |
Esitietovaatimukset
| Opintojakso | P/S | Selite |
| MAT-02500 Todennäköisyyslaskenta | Advisable | |
| MAT-02550 Tilastomatematiikka | Advisable | |
| MAT-63506 Scientific Computing | Advisable | |
| TTA-45010 Yritysrahoitus ja rahoitusmarkkinat | Advisable | |
| TTA-45036 Introduction to Financial Engineering and Derivatives Markets | Mandatory |
Tietoa esitietovaatimuksista
TTA-45036 Introduction to Financial Engineering and Derivatives Markets is absolutely mandatory. Courses on probability, statistics, and computing (Matlab) and some prerequisites on finance highly recommended.
Vastaavuudet
Opintojakso ei vastaan mitään toista opintojaksoa