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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Please note that the course TU-E2210 Financial Engineering I (periods I-II) is an absolute prerequisite for Financial Engineering II.
Passing the course:
3 cr version:
- 10 lectures (Wed 12.15-14, Fri 10.15-12, Ruth)
- 6 exercises: 3 x traditional and 3 x computational with real data and R, Python, or Matlab (Fri 12.15-14, Eljas)
- either A or B
A: trading practice + competition (not compulsory) on a HF simulation trading platform AND a LIGHT final examination (just to check that you have read the lecture notes and exercises)B: a final examination (Ruth)5 cr version:
- 10 lectures (Wed 12.15-14, Fri 10.15-12, Ruth)
- 6 exercises: 3 x traditional and 3 x computational with real data and R, Python, or Matlab (Fri 12.15-14, Eljas)
- 2 assignments (in group or individually):
- CVA-assignment by Nordea
- trading practice + competition (not compulsory) on a HF simulation trading platform (Eljas)
- 1 light final examination (just to check that you have read the lecture notes and exercises)(Ruth)
6 cr version: 5 cr version and short written assignment
Please register your choice for course version here!
Teacher: Ruth Kaila
Exercises: Eljas Toepfer
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Schedule, very preliminary version
- Lectures on Wednesdays at 12.15 – 14.00 and Fridays at 10.15 – 12.00 (Kaila)
- Exercises on Fridays at 12.15 – 14.00 (Toepfer)
Wed 13.1.
Foreign exchange derivatives
Fri 15.1.
Foreign exchange derivatives continues
Wed 20.1. IMPORTANT
High-frequency trading HFT very briefly, discussion on the trading simulation platform and assignment/competition
Fri 22.1.
High-frequency trading
Wed 27.1. IMPORTANT
Vähä-Vahe, Nordea, lecture+ CVA assignment; compulsory
Fri 29.1.
Yield curve calibration
Wed 3.2.
Stochastic interest rates
Fri 5.2.
VIX and VOX volatility indices, stochastic volatility
Wed 10.2.
trading volatility
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Important dates
- CVA: Wednesday 17.2. (exact, no possiblity for extention as Jussi from Nordea corrects this)
- HFT: game starts on Thursday 4.2. It will be run daily for two weeks. Each group should submit a 2 page report by Saturday 20.2. Please note that you should write this report while gaming. Later, you will much more work as you might have forgotten some aspects. If needed, this deadline can be extended.
- examination: Thursday 25.2.
- additional points for the exam
- Wilmott: where quants go wrong. DL: 7.2. (note: you cannot earn these points after the exam)
- 2 computational exercises: DL 1.3. (note: you can earn these points even after the exam)
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Announcements Forum
- 10 lectures (Wed 12.15-14, Fri 10.15-12, Ruth)