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| 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 | Wochentag | Zeit | Raum |
|---|---|---|---|
| wöchentlich | Donnerstag | 14.15-18.00 | - Online Präsenz - |
| Bemerkungen | 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 |