Financial Engineering

2018-2019

Course Objective

Student will be introduced to the theory of stochastic processes that
are important in modeling financial products. Students learn how to
translate a problem from finance into an appropriate feasible stochastic
simulation model. Students learn how to apply optimization and
simulation techniques for evaluating options and performing sensitivity
analysis. Students learn the application of stochastic simulation in the
evaluation of Greeks.

Course Content

This is an introductory course in stochastic simulation in finance. We
will discuss many of the standard models used in finance such as, for
example, Geometric Brownian motion, the Hestenberg model, and the
Vasicek model. While keeping a focus on financial models and
applications, the course introduces many advanced simulation techniques
that are also useful for a broader range of applications.

Teaching Methods

Combined lectures and tutorials

Method of Assessment

Final exam – Individual assessment
Individual assignment - Individual assessment

Entry Requirements

Analysis, basic probability theory, basic programming

Literature

All material necessary will be distributed in class.

Target Audience

Students from the bachelor "Econometrie en Operations Reseach" and
students from the bachelor "Economie en Bedrijfsecomie" with interest in
finance. The course is suitable to be taken in an exchange program

Recommended background knowledge

Analysis, basic probability theory, basic programming

General Information

Course Code E_EOR3_FENG
Credits 6 EC
Period P5
Course Level 300
Language of Tuition English
Faculty School of Business and Economics
Course Coordinator prof. dr. B.F. Heidergott
Examiner prof. dr. B.F. Heidergott
Teaching Staff

Practical Information

You need to register for this course yourself

Last-minute registration is available for this course.

Teaching Methods Lecture, Study Group
Target audiences

This course is also available as: