TU-E2220 - Financial Engineering II D, Lecture, 11.1.2023-20.4.2023

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Please note! Course description is confirmed for two academic years, which means that in general, e.g. Learning outcomes, assessment methods and key content stays unchanged. However, via course syllabus, it is possible to specify or change the course execution in each realization of the course, such as how the contact sessions are organized, assessment methods weighted or materials used.

LEARNING OUTCOMES

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 FX options, 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.

Credits: 6

Schedule: 11.01.2023 - 20.04.2023

Teacher in charge (valid for whole curriculum period):

Teacher in charge (applies in this implementation): Ruth Kaila, Eljas Toepfer

Contact information for the course (applies in this implementation):

CEFR level (valid for whole curriculum period):

Language of instruction and studies (applies in this implementation):

Teaching language: English. Languages of study attainment: English

CONTENT, ASSESSMENT AND WORKLOAD

Content

  • valid for whole curriculum period:

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

Assessment Methods and Criteria

  • valid for whole curriculum period:

    Lectures, exercises, assignment, exam.

Workload

  • valid for whole curriculum period:

    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.

DETAILS

Substitutes for Courses
Prerequisites

FURTHER INFORMATION

Further Information

  • valid for whole curriculum period:

    Teaching Language : English

    Teaching Period : 2022-2023 Spring III - IV
    2023-2024 Spring III - IV

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