Investment science is the application of mathematical modeling to analyze investment decisions. In this course, we focus on decisions about financial investments. This includes securities such as bonds and stock, and derivative securities such as forwards, futures, swaps, and options, which are traded for the worth of billions of dollars on the market.
The analysis of investment decisions require understanding about cash flow dynamics, stochastic processes, pricing and valuation of investments. In this course, we give an introduction to these topics so that the students taking this course understand the fundamental concepts in investment science and can apply them in practice.
Taking this course in 2016
We welcome you to this course in 2016, period IV. The first lecture is on Tue 23.2.2016 at 12.15-14 in hall M1. The first exercise session is on Wed 24.2.2016 at 10.15-12 in room Y344. Both the lectures and the exercises are voluntary.
The course topics include
- deterministic cash flows (e.g. net present value, interest rate analysis)
- single period random cash flows (Markowitch 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
D.G. Luenberger: Investment Science, Oxford University Press, 1998 (or newer).
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 exercises that each yield 0-4 points + 1 extra point for willingness to present your solution in exercise class. The points are valid until the start of the next course.
Lecturer: M.Sc. (Tech) Antti Toppila (email@example.com)
Assistant: Teemu Seeve
Lecturer: Wen 13-14 (During semesters)