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MS-E2114 - Investment science, 11.09.2017-20.12.2017

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Syllabus

Why take this course in investment science?

  • Why take this course in investment science?

    Why take this course in investment science?

    Investment science is the application of mathematical modeling to analyze investment decisions. In this course, we focus on decisions about financial investments. This includes securities such as bonds and stock,  and derivative securities such as  forwards, futures, swaps, and options, which are traded for the worth of billions of dollars on the market.

    The analysis of investment decisions require understanding about cash flow dynamics, stochastic processes, pricing and valuation of investments. In this course, we give an introduction to these topics so that the students taking this course understand the fundamental concepts in investment science and can apply them in practice.

    Taking this course in 2017

    We welcome you to this course in 2017, periods I and II. The first lecture is on Mon 11.9.2017 at 10.15-12 in hall U5. The first exercise session is on Thu 14.9.2017 at 10.15-12 in room Y344.

    The course topics include

    • deterministic cash flows (e.g. net present value, interest rate analysis)
    • single period random cash flows (Markowitz mean-variance portfolio theory, capital asset pricing model)
    • derivative securities and investment hedging
    • multiperiod random cash flows (discrete and continuous)
    • arbitrage pricing theory and risk neutral valuation
    • pricing of options and real options, and the Black-Scholes equation

    Course book

    D.G. Luenberger: Investment Science, Oxford University Press, 1998 (or newer).

    Grading

    The course is graded on a scale 0-5 based on a Final Exam (30 p/75 %) and homework (scaled to 10 p/25%).

    The homework consists of 8 assignments that each yield 0-6 points + 2 extra point for willingness to present demo exercises related to the assignments. The points are valid until the start of the next course.

    Course staff

    Lecturer: Prof. Ahti Salo (forename.surname@aalto.fi)

    Assistant: Teemu Seeve

    Office hours:
    Lecturer: Wednesdays 13-14 (During semesters)

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  • Schools
    • School of Arts, Design, and Architecture (ARTS)
    • School of Business (BIZ)
    • School of Chemical Engineering (CHEM)
    • –sGuides for students (CHEM)
    • – Instructions for report writing (CHEM)
    • School of Electrical Engineering (ELEC)
    • School of Engineering (ENG)
    • School of Science (SCI)
    • Language Centre
    • Open University
    • Library
    • Aalto university pedagogical training program
    • UNI (exams)
    • Sandbox
  • CORONAVIRUS INFO
    • Koronavirus - tietoa opiskelijalle
    • Coronavirus - information for students
    • Coronavirus - information för studerande
    • Koronaviruksen vaikutus opiskeluun: kysymyksiä ja vastauksia
    • Effects of the coronavirus on studies: questions and answers
    • Coronaviruset och studierna: frågor och svar
    • Corona help for teachers
  • Service Links
    • MyCourses
    • - Instructions for Teachers
    • - Teacher book your online session with a specialist
    • - Digital tools for teaching
    • - Personal data protection instructions for teachers
    • - Instructions for Students
    • - Workspace for thesis supervision
    • WebOodi
    • Into portal for students
    • Courses.aalto.fi
    • Library Services
    • - Resourcesguides
    • - Imagoa / Open science and images
    • IT Services
    • Campus maps
    • - Search spaces and see opening hours
    • Restaurants in Otaniemi
    • ASU Aalto Student Union
    • Aalto Marketplace
  • ALLWELL?
    • Study Skills
    • Support for Studying
    • Starting Point of Wellbeing
    • About AllWell? study well-being questionnaire
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