Credits: 3

Schedule: 09.01.2019 - 21.02.2019

Teaching Period (valid 01.08.2018-31.07.2020): 

III spring (2018-2019, 2019-2020)

Learning Outcomes (valid 01.08.2018-31.07.2020): 

This course complements the theoretical content of TU-E2210 Financial Engineering I. After the 3 cr. version of the course, the student understands how options and other derivatives are used in risk management and knows their practical limitations; is familiar with interest rate models and yield curve calibration; has a routine to solve simple problems in Ito calculus.

Additionally, after the 5 cr. course, the student knows the most important value adjustments and how to compute them.

Content (valid 01.08.2018-31.07.2020): 

Interest rate models, foreign currency instruments, option sensitivities, credit risk; regulation, financial technologies and high-frequency trading.

Assessment Methods and Criteria (valid 01.08.2018-31.07.2020): 

Lectures, exercises, assignment, exam.

Workload (valid 01.08.2018-31.07.2020): 

3 cr version: Lectures 12 h, exercises 12 h, preparation for the exercises and exam 57 h; 5 cr version: Lectures 12 h, exercises 12 h, assignment 54 h, preparation for the exercises and exam 57 h; 6 cr version: Lectures 12 h, exercises 12 h, assignment 54 h, written assignment 27 h, preparation for the exercises and exam 57 h.

Course Homepage (valid 01.08.2018-31.07.2020): 

https://mycourses.aalto.fi/course/search.php?search=TU-E2220

Prerequisites (valid 01.08.2018-31.07.2020): 

mandatory: TU-E2210 Financial Engineering I or TU-22.1600 Financial Engineering

Description

Registration and further information