Enkeltfag Engelsk 5 ECTS

Advanced Financial Engineering

Overordnede kursusmål

Kurset dækker avancerede aspekter inden for financial engineering. Eksempelvis anvendelse af stokastiske processer på finansielt data, analyse og beregning af finansiel risiko samt prisfastsættelse af finansielle derivater.

See course description in English

Læringsmål

  • Anvende et spektrum af stokastiske processer på finansielt data
  • Beregne teoretiske priser for diverse finansielle derivater
  • Forklare hovedtyperne af finansielle derivater og deres anvendelse i risikostyring
  • Klassificere finansielle risici
  • Beregne og analyse markedsrisiko ved brug af eksempelvis Value-at-Risk og Expected Shortfall
  • Beskrive og analysere forskellige metoder for at estimere sandsynligheden for konkurs af en modpart
  • Beskrive principperne i modpartsrisiko og beregne CVA for derivater
  • Forklare hvad vi har lært af velkendte finansielle kriser

Kursusindhold

Stokastiske processer i finansiering. Finansiel risikostyring. Prisfastsættelse af derivater.

Anbefalede forudsætninger

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.

Undervisningsform

Forelæsninger, øvelser og projektarbejde.

Se kurset i kursusbasen

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Sprog

Engelsk

Varighed

13 uger

Institut

Management

Kursus ID 42108
Kursustype Kandidat
Semesterstart Uge 5
Semester slut Uge 19
Dage ons 13-17
Pris

7.500,00 kr.

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