TU-E2210 - Financial Engineering I D, Lecture, 7.9.2022-14.12.2022

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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

After the 3 cr. version of course, the student understands the purpose, basic properties, and use of derivatives, the mathematical theory of options and other derivatives, and is familiar on how models are implemented, how they are used in practice, and what are the strengths and weaknesses of different models. In addition, the student knows how to use tools from engineering mathematics and physics in finance and what are their limitations.

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.

Credits: 6

Schedule: 07.09.2022 - 14.12.2022

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:

    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, limitations of financial engineering, and model risk.

Assessment Methods and Criteria

  • valid for whole curriculum period:

    Lectures, exercises, assignment, exam.

Workload

  • valid for whole curriculum period:

    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.

DETAILS

Substitutes for Courses
Prerequisites
SDG: Sustainable Development Goals

    5 Gender Equality

    8 Decent Work and Economic Growth

    9 Industry, Innovation and Infrastructure

FURTHER INFORMATION

Further Information

  • valid for whole curriculum period:

    Teaching Language : English

    Teaching Period : 2022-2023 Autumn I - II
    2023-2024 Autumn I - II

Rules of Conduct - Students´ Rights and Responsibilities (in force from 1 August 2020)

Aalto University Code of Academic Integrity and Handling Violations Thereof