Credits: 3

Schedule: 18.09.2019 - 11.12.2019

Teaching Period (valid 01.08.2018-31.07.2020): 

I-II autumn (2018-2019, 2019-2020)

Learning Outcomes (valid 01.08.2018-31.07.2020): 

After the 3 cr. version of course, the student understands the purpose, basic properties, and use of derivatives, mathematical theory of options and other derivatives familiar on how models are implemented, how they are used in practice, and what are the strengths and weaknesses of different models.

Additionally, after the 5 cr. version of the course, the student knows how to apply tools from engineering mathematics and computational methods to analyse market data.

Content (valid 01.08.2018-31.07.2020): 

Options and other derivatives: mathematical foundation of option theory, arbitrage; option pricing and hedging, different volatilities; interest rate term structure and interest rate derivatives; credit risk.

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 24 h, exercises 24 h, preparation for the exercises and exam 33 h; 5 cr version: Lectures 24 h, exercises 24 h, assignment 54 h, preparation for the exercises and exam 33 h; 6 cr version: Lectures 24 h, exercises 24 h, assignment 54 h, written assignment 27 h, preparation for the exercises and exam 33 h.

Substitutes for Courses (valid 01.08.2018-31.07.2020): 

Replaces course TU-22.1600

Course Homepage (valid 01.08.2018-31.07.2020): 

https://mycourses.aalto.fi/course/search.php?search=TU-E2210

Prerequisites (valid 01.08.2018-31.07.2020): 

Mandatory: MS-A0401 Foundations of discrete mathematics, MS-A0102 Differential and integral calculus 1 (SCI), MS-A0202 Differential and integral calculus 2 (SCI), MS-A0002 Matrix algebra (SCI), TU-C1030 Managerial accounting and finance for decision-makers.

Recommended: MS-A0502 First course in probability and statistics, Mat-2.3114 Investment Theory.

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