Back
| Semester | spring semester 2021 |
| Course frequency | Every spring sem. |
| Lecturers | Dietmar Maringer (dietmar.maringer@unibas.ch, Assessor) |
| Content | 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. |
| Learning objectives | Being able to implement financial concepts using Python and being able to solve quantitative problems in finance. |
| Bibliography | 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. |
| Comments | 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 |
| Admission requirements | *) 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. |
| 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 May 6, 2021, 8 pm. |
| Language of instruction | English |
| Use of digital media | Online course |
| Interval | Weekday | Time | Room |
|---|---|---|---|
| wöchentlich | Thursday | 14.15-18.00 | - Online Präsenz - |
| Comments | The course will be taught online at the dates you can see below: |
| Date | Time | Room |
|---|---|---|
| Thursday 22.04.2021 | 14.15-18.00 | - Online Präsenz -, -- |
| Thursday 29.04.2021 | 14.15-18.00 | - Online Präsenz -, -- |
| Thursday 06.05.2021 | 14.15-18.00 | - Online Präsenz -, -- |
| Thursday 13.05.2021 | 14.15-18.00 | Auffahrt |
| Thursday 20.05.2021 | 14.15-18.00 | - Online Präsenz -, -- |
| Thursday 27.05.2021 | 14.15-18.00 | - Online Präsenz -, -- |
| Thursday 03.06.2021 | 14.15-18.00 | - Online Präsenz -, -- |
| 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 | 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. |
| 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 |