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 2018
We welcome you to this course in 2018, periods I and II. The first lecture is on Tuesday 11.09.2018, at 12.15 - 14.00 in lecture hall C at Otakaari 1. The first exercise session is on Thursday 13.09.2018, at 10.15 - 12.00 in lecture hall U4 at Otakaari 1.
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
D.G. Luenberger: Investment Science, Oxford University Press, 1998 (or newer).
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.
Lecturer: Dr. Tech. Janne Gustafsson (firstname.lastname@example.org; email@example.com)
Assistant: Leevi Olander (firstname.lastname@example.org)
Lecturer: Tuesdays 14:00 - 14:30 in room Y222 upon request.