Why take this course in investment science?
Investment science is based on the application of mathematical modeling as a means of informing investment decisions. This course is focused on financial investments, including investments into securities such as bonds and stock, as well as derivative securities such as forwards, futures, swaps, and options.
The analysis of investment decisions requires a sound understanding about cash flow dynamics, stochastic processes, pricing and valuation of investments. This course gives a well-rounded introduction to all these topics, thus ensuring that the students master the fundamental concepts in investment science and are able to apply them in practice.
Taking this course in 2019
We welcome you to this course in 2019, periods I and II. The first lecture will be held on Monday 09.09.2019, at 10.15 - 12.00 in lecture hall U358 in Otakaari 1. The first exercise session is on Thursday 12.09.2019, at 10.15 - 12.00 in lecture hall U4 in 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
Course book
D.G. Luenberger: Investment Science, Oxford University Press, 1998 (or newer editions).
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: Professor Ahti Salo (forename.surname@aalto.fi)
Assistant: BSc Leevi Olander (forename.surname@aalto.fi)
Office hours:
Lecturer: Wednesdays at 15:00 - 16:00 in room Y217.