| Advanced Financial Engineering | |
| Engelsk | |
| 5 | |
Kandidat Kurset udbydes som enkeltfag |
| F5B (ons 13-17)
| |
| Campus Lyngby | |
| Forelæsninger, øvelser og projektarbejde. | |
| 13-uger | |
| F5B, F5B | |
| Mundtlig eksamen og bedømmelse af opgave(r)
Helhedsvurdering ad individuel mundlig eksamen og gruppeprojekt | |
| Alle hjælpemidler er tilladt | |
| 7-trins skala , intern bedømmelse | |
| 42105 og 42106 | |
| 4210542106 | |
| 42104 , The students should have done 42104 Introduction to Financial Engineering (or similar courses) prior to taking the course 42108 Advanced Financial Engineering. In 42104 Introduction to Financial Engineering, the students will - learn to analyze returns of financial time series and determine characteristics of financial time series. In 42108, the analysis will be continued using continuous-time processes (LO1) - learn to understand the structure of financial derivatives and the composition of optimal portfolios. In 42108, they will learn the principles for pricing such derivatives (LO2) and how they can be used to manage and measure risk (LO3, LO5, LO6, LO7) - understand the basics of financial markets and products. In 42108, they will analyze and classify different financial risks (LO4) and explain what can be learned from major (financial) events (LO8) Furthermore, the students should have done introductory courses in mathematics (calculus and linear algebra) and statistics (basic probability theory) and be familiar with programming and able to work in R, Matlab, Python, or similar programs. It is a benefit to have prior experience with data analysis. |
|
Nina Lange , Lyngby Campus, Bygning 358, Tlf. (+45) 4525
4542 , nilan@dtu.dk | |
|
Jesper Larsen , Lyngby Campus, Bygning 358, Tlf.
(+45) 4525 3385 ,
jesla@dtu.dk Ramazan Sari , Lyngby Campus, Bygning 424, Tlf. (+45) 4525 4424 , ramsa@dtu.dk | |
| 42 Institut for Teknologi, Ledelse og Økonomi | |
I
studieplanlæggeren |