Syllabus

Title
5195 Y2E Financial Engineering
Instructors
Assoz.Prof. PD Dr. Zehra Eksi-Altay, BSc.MSc.
Contact details
  • Type
    PI
  • Weekly hours
    2
  • Language of instruction
    Englisch
Registration
02/07/19 to 02/24/19
Registration via LPIS
Notes to the course
Subject(s) Master Programs
Dates
Day Date Time Room
Tuesday 03/05/19 09:00 AM - 01:00 PM D4.0.127
Tuesday 03/12/19 09:00 AM - 01:00 PM D4.0.127
Tuesday 03/19/19 09:00 AM - 01:00 PM D4.0.127
Tuesday 03/26/19 09:00 AM - 01:00 PM TC.4.01
Tuesday 04/02/19 09:00 AM - 01:00 PM D4.0.127
Tuesday 04/09/19 09:00 AM - 01:00 PM D4.0.127
Tuesday 04/30/19 09:00 AM - 11:00 AM TC.5.15

Contents

During this course students will become acquainted with the essential techniques and tools for financial engineering.  In particular, at the end of this course, students are expected to gain knowledge in:

  • principles of Monte Carlo simulation;
  • simulation of  stochastic processes;
  • variance reduction techniques;
  • applications in derivative pricing and term-structure modelling;
  • applications in risk management.

Learning outcomes

After completing this course the student will have the ability to:

  • price derivatives using Monte Carlo techniques;
  • apply variance reduction techniques ;
  • simulate Brownian paths and SDEs;
  • price exotic options by means of Monte Carlo simulation;
  • construct a yield curve;
  • perform basic risk analysis (V@R, ES, etc ).

Attendance requirements

Full attendance is mandatory. This means that students should attend at least 80% of all lectures ( at most one out of seven sessions  can be missed).

Teaching/learning method(s)

This course is mainly taught using a combination of (i) lectures elaborating relevant topics and (ii) examples (exercises) illustrating and deepening various aspects of a certain topic. The lectures are aimed at providing the core information about the principles of financial engineering. The examples should give students the opportunity to apply theoretical knowledge to practical problems and help to comprehend the key ideas of the lecture.  Regular homework assignments will help students to consolidate and expand their knowledge and understanding by developing solutions to applied problems.

Assessment

  • 60% Two written exams
  • 30% Homework assignment:

Homework assignments consist of  practical problems to be solved on the computer.  Students will be asked to  present their results shortly. Assignments can be worked out in teams. The assessment of  homework assignments will be based on the correctness of the results, the clarity of the work and the recognizable effort made. The late homework assignments will be penalized severely. 

  • 10% Class participation

50% must be achieved in total to successfully pass the course.

Prerequisites for participation and waiting lists

Fulfillment of the specific requirements for admission to courses and examinations defined in the curriculum.

    Readings

    1 Author: Paul Glasserman
    Title: Monte Carlo Methods in Financial Engineering

    Publisher: Springer
    Edition: 1st
    Year: 2004
    Recommendation: Strongly recommended (but no absolute necessity for purchase)
    Type: Book
    2 Author: R. Seydel
    Title: Tools for Computational Finance

    Publisher: Springer
    Recommendation: Strongly recommended (but no absolute necessity for purchase)
    Type: Book
    3 Author: Paolo Brandimarte
    Title:

    Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk
    Management, and Economics.


    Publisher: Wiley
    Year: 2014
    Recommendation: Strongly recommended (but no absolute necessity for purchase)
    Type: Book
    4 Author: Damiano Brigo and Fabio Mercurio
    Title:

    Interest rate models-theory and practice: with smile, inflation and credit.


    Publisher: Springer Science & Business Media
    Year: 2007
    Recommendation: Strongly recommended (but no absolute necessity for purchase)
    Type: Book
    5 Author: Damir Filipovic
    Title:

    Term Structure Models


    Publisher: Springer
    Edition: first
    Year: 2009
    Type: Book

    Recommended previous knowledge and skills

    • Basic knowledge in linear algebra
    • Basic knowledge in analysis
    • Knowledge in stochastics
    • Basic knowledge in finance
    • Knowledge of a programming language

    Availability of lecturer(s)

    zehra.eksi@wu.ac.at

    Other

    • Slides will be made available online.
    Last edited: 2019-02-19



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