Topic outline

  • Passing the course

    Important: these are the official course requirements. If something different is stated somewhere else, for example in the lecture slides, please believe this page. 


    10 lectures, 8 exercise sessions

    • lectures on Wednesdays at 12.15 – 14.00 
    • exercises on Fridays at 12.15 – 14.00 with EljasToepfer

    The attendance of the lectures or the exercises sessions is not compulsory. 2/3 of the exercise sessions are given in Otaniemi. Every third week, the exercise sessions will be organized online. 

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    3 credit version: choose A or B

    • A: lectures, exercises, 1 assignment (CVA or HFT) and a light examination OR
    • B: lectures, exercises, and a heavier examination

    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.

    5 credit version: lectures, exercises, two assignments (CVA (in groups or individually) AND HFT trading assignment (in groups), ) and a light examination

    The final grade is based on the HFT 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, 8 sessions

    traditional exercises and 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, in particular, the traditional exercises.  

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    You can earn additional points for the examination by 

    • returning solutions for the computational exercises 1 and 3 (1-2 points/exercise week). The DL for exercise 1 is 1.4. The DL for exercise 3 is 13.4.
    • by writing a onepager on the Wilmott article: Where Quants go Wrong. This article is on the page Materials, folder Wilmott. The DL is 1.4. (the Dl was extended on 7.2.2022 to this new date) (1 point)
      • while writing, you can concentrate on some of the topics that you find interesting. There is no need to consider everything.