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Finance Theory and Modelling
| Faculteit | Economie en Bedrijfskunde |
| Jaar | 2022/23 |
| Vakcode | EBB825A05 |
| Vaknaam | Finance Theory and Modelling |
| Niveau(s) | bachelor, uitwisseling |
| Voertaal | Engels |
| Periode | semester I a |
| ECTS | 5 |
| Rooster | rooster |
| Uitgebreide vaknaam | Finance Theory and Modelling | ||||||||||||
| Leerdoelen | Upon completion of the course the student is able to: 1. Describe the most important concepts related to portfolio management. 2. Describe the most important concepts related to the pricing and hedging of options. 3. Model and analyze a simple portfolio problem by means of techniques from operations research. 4. Model and analyze simple discrete-time models to price and hedge options by means of fundamental notions in probability theory. 5. Explain the connection between the Black-Scholes model and the binomial option pricing model in terms of pricing of options. 6. Model and analyze asset prices and risk-aversion in a mathematical way. |
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| Omschrijving | We give an introduction to the most important concepts in financial engineering. Our treatment is conceptual and puts emphasis on the mathematical translation of concepts like risk, riskless profit, derivative, tradable. Along the way we will introduce those concepts and tools from probability theory and operations research, that are helpful in modeling and solving some basic problems in financial engineering. |
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| Uren per week | 4 | ||||||||||||
| Onderwijsvorm | -hoorcollege , -werkcollege | ||||||||||||
| Toetsvorm |
-groepsopdracht, -schriftelijk tentamen (open vragen)
(Written exam with open questions (85%), assignments (15%)) |
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| Vaksoort | bachelor | ||||||||||||
| Coördinator | dr. L. Dam | ||||||||||||
| Docent(en) | dr. L. Dam ,dr. A.A. Tsvetkov | ||||||||||||
| Verplichte literatuur |
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| Entreevoorwaarden | Knowledge of calculus, basic finance, microeconomics, and dynamic econometrics | ||||||||||||
| Opmerkingen | Info: Dr Lammertjan Dam, phone +31(0)50 36 36518, e-mail l.dam@rug.nl Secretary: Grietje Pol, phone +31(0)50 363 3685, e-mail g.pol@rug.nl, room 5411.0836 |
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