Information and features
Published
(Updated )
Hanken School of Economics
Mathematical and Quantitative Finance
This course has obtained top evaluations.
10 cr
The course covers the concepts and practice of mathematical
and quantitative finance.
Among the topics considered are:
-
(Generalized) Wiener Process, Poisson Process, other Levy processes; simulation and visualization of solutions to SDEs driven by such processes
-
elementary stochastic calculus, Ito's Lemma, Geometric Brownian Motion, Monte Carlo approximation of expectations, probabilities, etc
-
Black-Scholes equation, Feynman-Kac formula, risk-neutral valuation
-
valuation of different types of options based on formulae and Monte-Carlo simulations, jump diffusion
-
martingales and measures
-
interest rates, models of the short rate, HJM model
-
credit risk, Merton's model and copulas
-
overview of (conditional) volatility modelling, bootstrap
-
Value-At-Risk
-
selected state-of-the-art approaches (eg, wavelets, functional data analysis, self-organizing map)
R (simulations and analyses) and RMarkdown (generation of documents with text and code) are used in rstudio https://rstudio.com/(Opens in a new tab) in the course.
Course participants are supposed to acquire hand-on experience with R by applying various techniques of mathematical and quantitative
finance to synthetic and real data. No prior knowledge of programming is required.
Contains
Check the institution’s website for the required studies.
No active implementations at present.
Additional information and registration
- Price and registration period
Check on the university's website
Additional information:
Fields
Business, administration and law
Scope
10 cr
Code
17017
Organiser
Hanken School of Economics
Contact details
open@hanken.fi