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50788-01 - Vorlesung: Computational and Quantitative Finance 3 KP

Semester Frühjahrsemester 2020
Angebotsmuster Jedes Frühjahrsem.
Dozierende Dietmar Maringer (dietmar.maringer@unibas.ch, BeurteilerIn)
Inhalt Many topics in finance have strong computational and 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 3 May 2020, 8 pm.
Unterrichtssprache Englisch
Einsatz digitaler Medien kein spezifischer Einsatz

 

Intervall wöchentlich
Datum 16.04.2020 – 28.05.2020
Zeit Donnerstag, 14.15-18.00 Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Datum Zeit Raum
Donnerstag 16.04.2020 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Donnerstag 23.04.2020 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Donnerstag 30.04.2020 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Donnerstag 07.05.2020 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Donnerstag 14.05.2020 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Donnerstag 21.05.2020 14.15-18.00 Uhr Auffahrt
Donnerstag 28.05.2020 14.15-18.00 Uhr Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Module Modul: Risiko-Analyse (Masterstudium: Actuarial Science)
Vertiefungsmodul: Monetary Economics and Financial Markets (Masterstudium: Wirtschaftswissenschaften)
Vertiefungsmodul: Quantitative Methods (Masterstudium: 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:
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 / WWZ

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