Finance Theory and Modelling

Faculteit Economie en Bedrijfskunde
Jaar 2017/18
Vakcode EBB825A05
Vaknaam Finance Theory and Modelling
Niveau(s) bachelor, uitwisseling
Voertaal Engels
Periode semester I a
ECTS 5
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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.
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.
Uren per week 4
Onderwijsvorm hoor- en werkcolleges
Toetsvorm opdracht(en), schriftelijk tentamen met open vragen
(Written exam with open questions (85%), assignments (15%))
Vaksoort bachelor
Co├Ârdinator dr. L. Dam
Docent(en) dr. L. Dam ,dr. D. Ronchetti
Verplichte literatuur
Titel Auteur ISBN Prijs
Investment Science, Oxford UP Luenberger, D.G. 0195108094 €  55,00
Entreevoorwaarden Knowledge of calculus, basic finance, microeconomics, and dynamic econometrics
Opmerkingen Info: Dr L. Dam, phone: +31(0)50 363 6518, e-mail: l.dam@rug.nl.
Secr: Grietje Pol, phone: +31(0)50 363 3685, e-mail: g.pol@rug.nl. Room 5411.0836
Opgenomen in
Opleiding Jaar Periode Type
BSc Econometrics and Operations Research/EOR  (basisprogramma BSc EOR) 3 semester I a verplicht
Courses open to Exchange Students (BSc)  ( Courses open to Exchange Students (BSc) without limited access) 3 semester I a keuze