Opleiding: Mathematical & Empirical Finance

Leerdoelen

• Students should understand the general principles and shouid be able to apply specific mathematical techniques used in the analysis and evaluation of investment decisions;
• develop a critical attitude towards the suitability of particular approaches and the applicability of the underlying assumptions;
• get knowledge about various investment products and about existing theories for pricing such products and hedging their risk;
• learn to implement various techniques in computational software, and to report on the results of such applications.

Inhoud

This course gives an introduction to modern investment and portfolio theory. The emphasis is on the development of financial-economic theories as well as the required mathematical and statistical techniques needed to analyse and implement them.

The following topics will be covered:

• Fixed income products, the term structure of interest rates and interest rate risk management;
• mean-variance portfolio optimization and the Capital Asset Pricing Model;
• factor models and general asset pricing theory;
• financial derivatives and their pricing and hedging.

Aanbevolen voorkennis

 The course assumes familiarity with calculus, linear algebra, probability and statistics, and regression analysis.

Werkvorm

Each week new material will be explained in two two-hour lectures; exercises will be discussed in one two-hour tutorial, and students work on computer exercises and assignments in one two-hour computer lab session.