| Instructors: | Dr. Paul Schneider |
| Type: | PI |
| Weekly hours: | 2 |
| Members (max.): | 22 |
| 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 | 09:00 AM - 12:30 PM | SCHR 4 (UZA 2) |
| Tuesday | 04/20/10 | 09:00 AM - 11:00 AM | SCHR 4 (UZA 2) |
| Tuesday | 04/20/10 | 11:00 AM - 12:30 PM | SCHR 3 (UZA 2) |
| Monday | 04/26/10 | 09:00 AM - 12:30 PM | SCHR 4 (UZA 2) |
| Tuesday | 04/27/10 | 10:30 AM - 02:00 PM | SCHR 3 (UZA 2) |
| Wednesday | 04/28/10 | 09:00 AM - 01:00 PM | SCHR 3 (UZA 2) |
| Thursday | 04/29/10 | 09:00 AM - 01:00 PM | SCHR 3 (UZA 2) |
| Friday | 04/30/10 | 12:30 PM - 03:00 PM | SCHR 3 (UZA 2) |
| Wednesday | 05/12/10 | 03:30 PM - 05:00 PM | SCHR 4 (UZA 2) |
| Wednesday | 05/12/10 | 07:00 PM - 08:30 PM | SCHR 4 (UZA 2) |
| Monday | 05/17/10 | 09:00 AM - 11:00 AM | SCHR 3 (UZA 2) |
| Monday | 05/17/10 | 01:00 PM - 03:00 PM | SCHR 3 (UZA 2) |
1) Introduction to programming
*) loops, nested loops
*) conditional statements
*) algorithms
2) Optimization
*) Identifying an optimization problem
*) Implementing an optimization problem in Excel
3) Introduction to Visual Basic for Applications
*) Arrays
*) Ranges
*) How to link Excel and VBA
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
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