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Semester | spring semester 2019 |
Course frequency | Every spring sem. |
Lecturers | Dietmar Maringer (dietmar.maringer@unibas.ch, Assessor) |
Content | 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. |
Learning objectives | Being able to implement financial concepts using Matlab and being able to solve quantiative problems in finance. |
Bibliography | 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. |
Comments | 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 |
Admission requirements | *) 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. |
Course application | 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 2019, 8 pm. |
Language of instruction | English |
Use of digital media | No specific media used |
Interval | Weekday | Time | Room |
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No dates available. Please contact the lecturer.
Modules |
Module: Risk Analysis (Master's Studies: Actuarial Science) Specialization Module: Monetary Economics and Financial Markets (Master's Studies: Business and Economics) Specialization Module: Quantitative Methods (Master's Studies: Business and Economics) |
Assessment format | end-of-semester examination |
Assessment details | 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: 23.05.19; 14:15-15:15. WWZ Audi: A-Z. |
Assessment registration/deregistration | Reg.: course registr.; dereg.: Office of the Dean of Studies |
Repeat examination | no repeat examination |
Scale | 1-6 0,1 |
Repeated registration | as often as necessary |
Responsible faculty | Faculty of Business and Economics , studiendekanat-wwz@unibas.ch |
Offered by | Faculty of Business and Economics |