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Course Catalog 2014-2015
TTA-45026 Financial Engineering, 5-6 cr |
Additional information
Suitable for postgraduate studies
Person responsible
Juho Kanniainen
Lessons
| Study type | P1 | P2 | P3 | P4 | Summer | Implementations | Lecture times and places |
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Requirements
Exam and project work
Completion parts must belong to the same implementation
Learning Outcomes
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 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
Content
| Content | Core content | Complementary knowledge | Specialist knowledge |
| 1. | Options and other derivatives: - Models in option pricing; - Stochastic models for underlying assets; - Interest rates dynamics; - Futures and Swaps | ||
| 2. | Understanding mathematics in - Binomial option pricing models; - Continuous-time processes; - Ito's lemma; - Multivariate processes | ||
| 3. | Practicalities: - Volatility surface; - Greeks; - Calibration |
Instructions for students on how to achieve the learning outcomes
Exam 80% Projext Work 20%
Assessment scale:
Numerical evaluation scale (1-5) will be used on the course
Partial passing:
Study material
| Type | Name | Author | ISBN | URL | Edition, availability, ... | Examination material | Language |
| Book | The Concept and Practice of Mathematical Finance | Joshi, Mark | 978-0521823555 | Yes | English | ||
| Book | ptions, Futures, and Other Derivatives | John Hull | ISBN: 978-0-13-345631-8 | An alternative book to Joshi's one | No | English |
Prerequisites
| Course | Mandatory/Advisable | Description |
| MAT-02500 Todennäköisyyslaskenta | Advisable | |
| MAT-02550 Tilastomatematiikka | Advisable | |
| MAT-63506 Scientific Computing | Advisable | |
| TTA-45010 Yritysrahoitus ja rahoitusmarkkinat | Advisable |
Additional information about prerequisites
Courses on probability, statistics, and computing (Matlab) and some prerequisites on finance highly recommended.
Prerequisite relations (Requires logging in to POP)
Correspondence of content
There is no equivalence with any other courses
More precise information per implementation
| Implementation | Description | Methods of instruction | Implementation |