TU-E2220 - Financial Engineering II D, Lecture, 10.1.2024-18.4.2024

Topic outline

• Passing the course
  Important: these are the official course requirements. If something different is stated somewhere else, please believe this page. 

  
  

  • lectures on Wednesdays at 12.15 – 14.00, Kaila
    
  • exercises on Fridays at 12.15 – 14.00, Toepfer 

  Attendance at lectures or exercises is not compulsory.

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  requirements

  3 credit version A:
  

  • Lectures
    
  • Exercises
    
  • Two mid-term exams
    
  • No assignments
    
  • Final grade: exams
    

  
  

  3 credit version B:

  • Lectures of one period (Lectures 1-6 or 7-12)
  • Exercises of one period 
  • One mid-term exam
  • Assignment (CVA or Yield curve)
  • Final grade: 0.8 x exam+ 0.2 x assignment

  
  

  5 credit version: 

  • Lectures of periods 3 & 4
    
  • Exercises of periods 3 & 4
    
  • Two mid-term exams
    
  • Two assignments (CVA and Yield curve)
    
  • Final grade: 0.8 x exams + 0.2 x assignments
    

  
  

  6 credit version: 

  • 5 credit version and a short essay
    
  • Final grade: 0.8 x exam + 0.2 x assignments
    

  
  

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  Exercises, 6 traditional sessions, 3 computer exercises

  We will consider

  • problems related to the theory of the lectures
    
  • problems related to Itô calculus
    
  • problems related to taking option positions
  • computational exercises that are partly done with real data (R, Python)
    

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  There might be a possibility to earn additional points for the examination. You will be informed on this later.