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| Semester | Frühjahrsemester 2018 |
| Angebotsmuster | Jedes Frühjahrsem. |
| Dozierende | Dietmar Maringer (dietmar.maringer@unibas.ch, BeurteilerIn) |
| Inhalt | Many topics in finance have strong quantitative components, including analytical, empirical, and numerical aspects. This course focuses on the latter. Topics may include (but are not limited to) * financial modelling (assets, markets), * asset pricing (including lattice methods, Monte Carlo methods), * risk management and portfolio optimization, * trading strategies (static and dynamic, low- and high-frequency). There will be a strong hands-on component: We will implement numerous concepts and ideas using Matlab. |
| Lernziele | Being able to implement financial concepts using Matlab and being able to solve quantiative problems in finance. |
| Literatur | Handouts will be provided via Adam. There is no designated textbook, but quite a few books participants might find helpful. These include: * A Arratia, Computational Finance: An Introductory Course with R, Atlantis Press 2012. * P Brandimarte, Numerical Methods in Economics and Finance, Wiley, 2nd ed, 2006. * P Brandimarte, Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics, Wiley 2014. * K Cuthbertson and D Nitzsche, Quantitative Financial Economics, Wiley, 2nd ed., 2004. * JC Duan, WK Härdle, JE Gentle (eds), Handbook of Computational Finance, Springer 2014. * G Fusai, A Roncoroni, Implementing Models in Quantitative Finance: Methods and Cases, Springer 2008. * P Glasserman, Monte Carlo Methods in Finance and Engineering, Springer 2003. M Gilli, D Maringer, E Schumann, Numerical Methods and Optimization in Finance, Academic Press 2011. |
| Bemerkungen | Particpants with limited or no Matlab experience are encouraged to attend the "Matlab" part of the "Vorkurs: Arbeiten mit wissenschaftlicher Software" provided at the beginning of the term. For more details, please check the webpages of the Computational Economics and Finance unit. |
| Weblink | Weblink to ADAM |
| Teilnahmebedingungen | *) Sound knowledge of financial theory is inevitable. *) Also, a solid background in quantitative methods (in particular econometrics and empirical finance) is expected. *) Prior programming skills help, but are not necessary. Particpants with limited or no Matlab experience are encouraged to attend the "Matlab" part of the "Vorkurs: Arbeiten mit wissenschaftlicher Software" provided at the beginning of the term. For more details, please check the webpages of the Computational Economics and Finance unit. |
| Anmeldung zur Lehrveranstaltung | Course registration: please enrol in MOnA; Registration = Admission to the exam. A deregistration is possible by email to Studiendekanat-wwz@unibas.ch until 4 May 2018, 8 pm. |
| Unterrichtssprache | Englisch |
| Einsatz digitaler Medien | kein spezifischer Einsatz |
| Intervall | Wochentag | Zeit | Raum |
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Keine Einzeltermine verfügbar, bitte informieren Sie sich direkt bei den Dozierenden.
| Module |
Modul Risiko-Analyse (Masterstudium: Actuarial Science) Vertiefungsmodul Monetary Economics and Financial Markets (Master Wirtschaftswissenschaften) |
| Leistungsüberprüfung | Semesterendprüfung |
| Hinweise zur Leistungsüberprüfung | Grading is based on a final written exam (closed book) at the end of the term, and, upon agreement, assignments during the term. Attendance is mandatory. written exam: 29.05.18; 12:30-13:30. WWZ Audi: A-Z. You can still withdraw from the examination by submitting a completed, signed form to our office from 27.03.18 until 06.04.18 / 12:00 o’clock. Withdrawals sent by email will not be accepted. You will find the examination withdrawal form on the Homepage of the Student Dean’s Office. Prior to 26.03.18, please only use MONA for withdrawing. The exam rooms will be published up to 25.05.18. |
| An-/Abmeldung zur Leistungsüberprüfung | Anmelden: Belegen; Abmelden: Studiendekanat |
| Wiederholungsprüfung | keine Wiederholungsprüfung |
| Skala | 1-6 0,1 |
| Wiederholtes Belegen | beliebig wiederholbar |
| Zuständige Fakultät | Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch |
| Anbietende Organisationseinheit | Wirtschaftswissenschaftliche Fakultät |