Quantitative Finance and Computational Statistics

2018/2019

Modulets indhold, forløb og pædagogik

Læringsmål

Viden

  • know about quantitative software development with a focus on computational finance
  • know about core models & products: stochastic volatility models, vanilla & exotic derivatives
  • know about numerical treatment of stochastic differential equations (SDEs) and partial differential equations (PDEs)
  • know about Monte Carlo foundations and applications
  • know about Fourier transform pricing
  • calibration (applied numerical optimization, market data)

Færdigheder

  • are able to analyse a given model and apply it on market data
  • are able to develop quantitative software in line with the existing practices in the financial industry
  • are able to perform all stages of the verification and validation (V&V) process in quantitative software development – assessing the results obtained from a financial model

Kompetencer

  • are able to independently develop, analyse, and apply quantitative finance models relevant to a financial problem at hand
  • are able to communicate the results of applying the models appropriate to a given financial problem to non-specialists in the financial industry
  • discuss relative strengths and weaknesses of numerical methods (SDEs, PDEs, Fourier Transform) in relation to financial products (derivatives) and tasks (pricing, hedging, calibration)

Undervisningsform

Forelæsninger med tilhørende opgaveregning.

Omfang og forventet arbejdsindsats

Kursusmodulets omfang er 5 ECTS svarende til 150 timers studieindsats.

Eksamen

Prøver

Prøvens navnQuantitative Finance and Computational Statistics
Prøveform
Skriftlig eller mundtlig
Individual oral or written exam, or individual ongoing during the course. In order to participate in the course evaluation, students must have actively participated in course progress by way of one or several independent oral and/or written contributions.
ECTS5
BedømmelsesformBestået/ikke bestået
CensurIntern prøve
VurderingskriterierSom angivet i Fællesbestemmelser for uddannelser (Vurderingskriterier).
http:/​/​www.engineering.aau.dk/​uddannelse/​Studieadministration/​

Fakta om modulet

Engelsk titelQuantitative Finance and Computational Statistics
ModulkodeF-MOK-K2-3
ModultypeKursus
Varighed1 semester
SemesterForår
ECTS5
TompladsJa
UndervisningsstedCampus Aalborg
Modulansvarlig

Organisation

StudienævnStudienævnet for Matematik, Fysik og Nanoteknologi
FakultetDet Ingeniør- og Naturvidenskabelige Fakultet