2023/2024
Основы количественных финансов
Лучший по критерию «Полезность курса для Вашей будущей карьеры»
Лучший по критерию «Полезность курса для расширения кругозора и разностороннего развития»
Лучший по критерию «Новизна полученных знаний»
Статус:
Маго-лего
Когда читается:
3 модуль
Онлайн-часы:
20
Охват аудитории:
для своего кампуса
Язык:
английский
Кредиты:
3
Контактные часы:
32
Course Syllabus
Abstract
The purpose of this course is on the one hand to provide students with a vision of the internal structure of financial markets, an understanding of how to measure and predict financial risks; on the other hand to deepen and expand knowledge of existing financial instruments.
The course would be interesting and useful to students with strong mathematical backgrounds who wish to develop their skills for quantitative applications in finance.
Based on the general principles of constructing mathematical models, students will
- learn how to forecast and manage risk and return;
- Construct advanced knowledge of the main theoretical and applied concepts in quantitative finance;
- Prepare for problems involving development of innovative methods for measuring, or predicting and managing risk;
-Apply mathematical and statistical methods to solve finance-related problems, and computationally implement these methods.
Learning Objectives
- The goals of mastering the discipline “Fundamentals of Quantitative Finance” are to demonstrate to master’s students some approaches in the modern science of finance, aimed at forecasting markets.
Expected Learning Outcomes
- The student must be proficient in the methodology and methodology of conducting scientific research in the professional field; independent research skills.
- The student must know the patterns of functioning and development trends of the national and global financial markets; the main results of the latest research in the field of the theory of finance, their empirical tests, published in leading professional journals on the problems of the theory of finance, financial markets, financial institutions, corporate finance, international finance, risk management;
- The student should be able to apply modern econometric tools for researching financial decisions at the level of a firm, a financial institution, tools and processes in financial markets; substantiate forecasts for the development of firms, financial institutions, processes in financial markets; to model results, efficiency in firms, financial institutions, processes in financial markets.
Course Contents
- Basic principles of constructing mathematical models.
- Financial data and the basics of R
- Deterministic models. Bonds, Definition and Examples, Zero-Coupon Bonds, Coupon Bonds.
- Time series analysis and forecasting.
- Stochastic models. Discrete Time Models. (B,S)-market.
- Stochastic models. Discrete Time Models. (B,S)-market. Investment portfolio and trading strategies.
Bibliography
Recommended Core Bibliography
- Carmel De Nahlik, & Frank J Fabozzi. (2021). Project Financing: Analyzing And Structuring Projects. World Scientific.
- Fabozzi, F. J. (2002). The Handbook of Financial Instruments. Hoboken, N.J.: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=81949
- Microsoft SQL Server 2005 Analysis Services. OLAP и многомерный анализ данных, Бергер, А., 2007
Recommended Additional Bibliography
- Rachev, S. T. et al. Financial models with Lévy processes and volatility clustering. – John Wiley & Sons, 2011. – 394 pp.
- Анализ данных на компьютере : учеб. пособие для вузов, Тюрин, Ю. Н., 2011