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: 3 - 6
Schedule: 10.01.2024 - 18.04.2024
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
Study Material
valid for whole curriculum period:
given during the course
Substitutes for Courses
valid for whole curriculum period:
Prerequisites
valid for whole curriculum period:
FURTHER INFORMATION
Further Information
valid for whole curriculum period:
Teaching Language : English
Teaching Period : 2022-2023 Spring III - IV
2023-2024 Spring III - IV