Zur Merkliste hinzufügen
Zurück

 

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

Semester Frühjahrsemester 2021
Angebotsmuster Jedes Frühjahrsem.
Dozierende Dietmar Maringer (dietmar.maringer@unibas.ch, BeurteilerIn)
Inhalt Many topics in finance have strong computational and quantitative components, requiring analytical, empirical, and numerical skills. 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 Python.
Lernziele Being able to implement financial concepts using Python and being able to solve quantitative problems in finance.
Literatur Lecture material will be provided. There is no designated textbook, but quite a few books participants might find helpful. These include (in alphabetical order):

*) 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.

Specific recommendations and additional literature to be announced during the course.
Bemerkungen Throughout the course, we will use Python to implement methods and concepts. Prior programming skill help, but are not required: For those new to Python, self-study material and references will be provided.
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.

*) Having attended “23525 Computational Economics”, “58989 Scientific Computing” or similar courses helps, but is not compulsory.

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 May 6, 2021, 8 pm.
Unterrichtssprache Englisch
Einsatz digitaler Medien Online-Veranstaltung

 

Intervall wöchentlich
Datum 22.04.2021 – 03.06.2021
Zeit Donnerstag, 14.15-18.00 - Online Präsenz -

The course will be taught online at the dates you can see below:

Datum Zeit Raum
Donnerstag 22.04.2021 14.15-18.00 Uhr - Online Präsenz -, --
Donnerstag 29.04.2021 14.15-18.00 Uhr - Online Präsenz -, --
Donnerstag 06.05.2021 14.15-18.00 Uhr - Online Präsenz -, --
Donnerstag 13.05.2021 14.15-18.00 Uhr Auffahrt
Donnerstag 20.05.2021 14.15-18.00 Uhr - Online Präsenz -, --
Donnerstag 27.05.2021 14.15-18.00 Uhr - Online Präsenz -, --
Donnerstag 03.06.2021 14.15-18.00 Uhr - Online Präsenz -, --
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 Combination of active participation, assignment(s) and final exam: 28.06.21; 10:15-11:00. The exam will take place at WWZ. In case COVID-19 protective measures prevent examination on site, the faculty reserves the right to conduct the examination electronically during the same time slot. You will receive details of the on-site examinations (Exhibition Center or WWZ) by email approximately one week before the examination date.
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

Zurück