TU-E2220 - Financial Engineering II D, 13.01.2021-25.02.2021
This course space end date is set to 25.02.2021 Search Courses: TU-E2220
Topic outline
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9-10 lectures, 6 exercises
lectures on Wednesdays at 12.15 – 14.00 and Fridays at 10.15 – 12.00
exercises on Fridays at 12.15 – 14.00 with EljasToepfer
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3 credit version: choose A or B
The final grade of version A is based on the assignment 50 % and the examination 50 %. The final grade of version B is based on the examination.- A: lectures, exercises, 1 assignment and a light examination OR
- B: lectures, exercises, and examination
5 credit version: lectures, exercises, two assignments (HFT (in groups), CVA (in groups or individually)) and a light examination
The final grade is based on the trading assignment 25 %, the CVA assignment 40 % and the examination 35 %.
6 credit version: 5 credit version with additional written assignment/lecture diary
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Exercises
4 traditional exercises and 2 computational exercises.
We will consider
- problems related to the theory of the lectures
- problems related to Ito calculus
- computational exercises are partly done with real data (Matlab, R, Python)
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Light examination
The aim is to check that you have read through the course material.
You can earn additional points in the examination by
- returning solutions for the computational exercises (1-2 points/exercise week)
- the DL is 1.3.
- by writing a 2 pager on a Wilmott article: Where Quants go Wrong. This article is in the folder Lecture 1-2. The DL is 7.2. (1-2 points)
- A: lectures, exercises, 1 assignment and a light examination OR