TTA-45046 Financial Engineering, 3 cr


Suitable for postgraduate studies.


Juho Kanniainen


Toteutuskerta Periodi Vastuuhenkilö Suoritusvaatimukset
TTA-45046 2018-01 4 Juho Kanniainen
Exam and project work


A solid understanding of the mathematical basis of option pricing models is essential for understanding phenomena and pricing and hedging options in banks and financial institutions. After studying this course, the student can - Apply continuous and discrete-time models and methods to price and options and other derivatives - Implement derivative pricing models in Matlab or in some other environment - Understand the main results of recent scientific papers on the field - Implement Black-Scholes dynamics with complex derivative contracts


Sisältö Ydinsisältö Täydentävä tietämys Erityistietämys
1. Options and other derivatives: - Models in option pricing; - Stochastic models for underlying assets; - Interest rates dynamics; - Futures and Swaps - Exotic Options     
2. Understanding mathematics in - Continuous-time processes; - Ito's lemma; - Multivariate processes     
3. Practicalities: - Estimation - Calibration      

Ohjeita opiskelijalle osaamisen tasojen saavuttamiseksi

Exam 70% Projext Work 60%


Numerical evaluation scale (0-5)


Completion parts must belong to the same implementation


Tyyppi Nimi Tekijä ISBN URL Lisätiedot Tenttimateriaali
Book   Options, Futures, and Other Derivatives   John Hull   ISBN: 978-0-13-345631-8     8th or 9th edition   Yes   
Book   The Concept and Practice of Mathematical Finance   Mark Joshi   978-0521823555     Alternative book   Yes   


Opintojakso P/S Selite
MAT-02500 Todennäköisyyslaskenta Advisable    
MAT-02550 Tilastomatematiikka Advisable    
MAT-63506 Scientific Computing Advisable    
TTA-45010 Yritysrahoitus ja rahoitusmarkkinat Advisable    
TTA-45036 Introduction to Financial Engineering and Derivatives Markets Mandatory    

Tietoa esitietovaatimuksista
TTA-45036 Introduction to Financial Engineering and Derivatives Markets is absolutely mandatory. Courses on probability, statistics, and computing (Matlab) and some prerequisites on finance highly recommended.


Opintojakso ei vastaan mitään toista opintojaksoa

Päivittäjä: Kanniainen Juho, 25.02.2019