Course Catalog 2014-2015
Postgraduate

Basic Pori International Postgraduate Open University

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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
Lectures
Excercises


 


 
 2 h/week
 2 h/week
+2 h/week
+2 h/week


 
TTA-45026 2014-01 Thursday 10 - 12 , FC112
Tuesday 16 - 18 , FC110
Wednesday 16 - 18 , FC112
Wednesday 14 - 16 , SB202

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:

Completion parts must belong to the same implementation

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
TTA-45026 2014-01        

Last modified09.12.2014