Quantitative Finance

Faculteit Economie en Bedrijfskunde
Jaar 2017/18
Vakcode EBM161A05
Vaknaam Quantitative Finance
Niveau(s) master, uitwisseling
Voertaal Engels
Periode semester II b

Uitgebreide vaknaam Quantitative Finance
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 advanced portfolio problem by means of techniques from stochastic optimal control.
4. Model and analyze continuous time finance models to price and hedge options by means of fundamental notions in probability theory.
5. Model and analyze asset prices and risk-aversion in a mathematical way.
6. Solve stochastic differential equations and simulate diffusion processes.
Omschrijving We give an advanced treatment of the most important concepts in financial engineering. The course puts emphasis on the mathematical translation of concepts like risk, riskless profit, derivative, tradable, in continuous time. Both derivative pricing as well as stochastic optimal control used in solving dynamic portfolio problems are introduced. Basic applications of the theory will also be dealt with and the practical applicability will be highlighted.
Uren per week 4
Onderwijsvorm computer practica, hoorcolleges, werkcolleges
Toetsvorm opdracht(en), schriftelijk tentamen met open vragen
Vaksoort master
Coördinator dr. L. Dam
Docent(en) dr. L. Dam
Verplichte literatuur
Titel Auteur ISBN Prijs
Arbitrage Theory in Continuous Time Björk, Tomas 9780199574742 €  60,90
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.
Opgenomen in
Opleiding Jaar Periode Type
Courses open to Exchange Students (MSc)  ( Courses open to Exchange Students (MSc) without limited access ) 1 semester II b keuze
MSc Econometrics, Operations Research & Actuarial Studies/EORAS  (keuzevakken MSc EORAS) 1 semester II b keuze