Topic outline

  • Financial Engineering II



    This course will be lectured again in January 2023




    Please note that the course TU-E2210 Financial Engineering I (periods I-II) is an absolute prerequisite for Financial Engineering II.

    The course consists of lectures, exercises (both traditional and computational with R or Python), and 2 assignments. You can choose the 3 credit version, the 5 credit version, or the 6 credit version of the course. The content of each of these versions is explained in Passing the course. 

    Please register your choice for course version here!

    Teacher: Ruth Kaila

    Exercises: Eljas Toepfer


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    Preliminary schedule of the year 2022, periods III-IV

    • Lectures on Wednesdays at 12.15 – 14.00, online, streamed from lecture hall AS1, Maarintie 8 (Kaila)
    • Exercises on Fridays at 12.15 – 14.00 (Toepfer)


    Period III

    Wed 12.1. 

    Foreign exchange derivatives

    Fri 14.1. exercise in TU 6, Maarintie 8

    Wed 19.1. 

    Foreign exchange derivatives continues

    Fri 21.1. exercise in TU 6, Maarintie 8

    Wed 26.1. IMPORTANT

    Vähä-Vahe, Nordea, lecture + CVA assignment; compulsory  

    Fri 28.1. exercise in TU 6, Maarintie 8

    Wed 2.2.

    Interest rate models

    Fri 4.2. exercise in TU 6, Maarintie 8

    Wed 9.2.

    FX continues, Natural and risk-neutral measures

    Fri 11.2. exercise in TU 6, Maarintie 8

    Wed 16.2., IMPORTANT 

    High-frequency trading, Vuorenmaa — HFT game

    Fri 18.2. NO exercises


    Period IV

    Wed 2.3.

    stochastic volatility, VIX and VOX volatility indices

    Fri 4.3. traditional exercise in TU 6, Maarintie 8

    Wed 9.3. 

    Trading volatility

    Fri 11.3. computer exercise 

    Wed 16.3. very important

    cybersecurity in finance

    stochastic correlated volatility and volatility smile

    Fri 18.3. computer exercise 

    Wed 23.3. NO LECTURE

    Fri 24.3. no exercise

    Wed 30.3. Important

    Visiting lecture: Patrik Wahlroos, SEB; topic on green investing

    Fri 1.4. exercise in TU 6, Maarintie 8

    Wed 6.4. 

    visiting lecture: Colin Berthoud, founder of three Fintech start-up companies, London 

    fixed income derivatives, yield curve calibration

    Fri 8.4. computer exercise

    If you are unable to come to Aalto, we can arrange a few exercise sessions also in Zoom, please contact Eljas to arrange these.


    Important deadlines: 

    Final examination: 12.4.

    Deadline of the CVA assignment: 18.2.

    Deadline of the HFT assignment: 4.4.

    Important: these are the official dates of the most important deadlines. If something different is stated somewhere else, for example in the lecture slides, please believe this page.