Back
| Semester | spring semester 2020 |
| Course frequency | Every spring sem. |
| Lecturers | Dietmar Maringer (dietmar.maringer@unibas.ch, Assessor) |
| Content | 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. |
| 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 2020, 8 pm. |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Interval | Weekday | Time | Room |
|---|
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. digital exam: 15.06.20; 15:00-16:00. You can still withdraw from the examination by submitting a completed, signed form to our office from 17.03.20 until 27.03.20 / 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 16.03.20, please only use MONA for withdrawing. The exam rooms will be published up to 20.05.20. |
| 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 |