Instructors:	Dr. Paul Schneider
Type:	PI
Weekly hours:	2
Members (max.):	27
Registration period:	02/19/10 to 02/26/10

Class objective(s) (learning outcomes)

The general idea of the class is to establish an analytic and computational basis such that the students will be able to solve practical problems that they will face in the industry. Applications include bond portfolio optimization, the mean variance portfolio problem and things like how to compute implied volatilities.

Prerequisites according to degree program

siehe www.wu-wien.ac.at/FED

Teaching and learning method(s)

We will be learning by doing.

In case of restricted admission; selection criteria

It is helpful for the students to have some knowledge of basic mathematics, statistics and finance to get the most out of the class, but I am providing handouts providing information about the prerequisites should there be deficiencies.

Criteria for successful completion

There will be a midterm and a final exam, as well as a take home exam

Availability of instructor(s) for contact by students

Office hours: Wednesday 11-12 a.m.

Day	Date	Time	Room
Monday	04/19/10	01:30 PM - 05:00 PM	SCHR 4 (UZA 2)
Tuesday	04/20/10	01:30 PM - 05:00 PM	SCHR 3 (UZA 2)
Monday	04/26/10	01:30 PM - 05:00 PM	SCHR 4 (UZA 2)
Tuesday	04/27/10	02:30 PM - 05:30 PM	SCHR 4 (UZA 2)
Wednesday	04/28/10	01:30 PM - 05:30 PM	SCHR 3 (UZA 2)
Thursday	04/29/10	01:30 PM - 05:30 PM	SCHR 3 (UZA 2)
Friday	04/30/10	03:30 PM - 05:30 PM	SCHR 3 (UZA 2)
Wednesday	05/12/10	10:00 AM - 02:00 PM	SCHR 3 (UZA 2)
Friday	05/14/10	02:00 PM - 06:00 PM	SCHR 3 (UZA 2)
Tuesday	06/01/10	02:00 PM - 04:00 PM	S2 (H46)

1) Review of fixed income instruments (bonds, corporate bonds etc)
*) Zero bonds
*) spot rates, forward rates
*) Yield
*) Corporate bonds
*) Duration, convexity

2) Review of mean-variance analysis and applications in corporate finance (cost of capital)
*) assumptions behind mean-variance analysis
*) the mean-variance portfolio problem and how to solve it
*) what happens if a riskless security is added to the market

3) Introduction to derivative securities
*) Concept of no-arbitrage in a discrete-time, discrete-state world
*) Forwards
*) Options
*) More general securities

4) Computational applications
*) Bond portfolio immunization
*) Optimal mean variance portfolio
*) Yield Curve fitting
*) How to compute implied volatility

Simon Benninga: Financial Modeling, MIT Press, third edition, 2008; Content relevant for class examination: Nein; Content relevant for degree examination: Keine Angabe; Recommendation: Keine Angabe

David Luenberger: Investment Sience, Oxford University Press, 1998; Content relevant for class examination: Nein; Content relevant for degree examination: Keine Angabe; Recommendation: Keine Angabe