Study Guide 2015-2016

TTA-45046 Financial Engineering, 3 cr

Additional information

Suitable for postgraduate studies

Person responsible

Juho Kanniainen

Lessons

Implementation 1: TTA-45046 2015-01

Study type P1 P2 P3 P4 Summer
Lectures
Excercises


 


 


 
 2 h/week
 2 h/week


 

Lecture times and places: Thursday 10 - 12 FC110 , Thursday 10 - 12 K4241

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 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

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 - Exotic Options     
2. Understanding mathematics in - Continuous-time processes; - Ito's lemma; - Multivariate processes     
3. Practicalities: - Estimation - Calibration      

Instructions for students on how to achieve the learning outcomes

Exam 70% Projext Work 60%

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 Additional information Examination material
Book   Options, Futures, and Other Derivatives   John Hull   ISBN: 978-0-13-345631-8     8th or 9th edition   Yes   

Prerequisites

Course Mandatory/Advisable Description
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    

Additional information about prerequisites
Courses on probability, statistics, and computing (Matlab) and some prerequisites on finance highly recommended.

Correspondence of content

There is no equivalence with any other courses

Last modified 29.04.2015