Financial Engineering

Vrije Universiteit Amsterdam

Course Description

  • Course Name

    Financial Engineering

  • Host University

    Vrije Universiteit Amsterdam

  • Location

    Amsterdam, The Netherlands

  • Area of Study

    Finance

  • Language Level

    Taught In English

  • Course Level Recommendations

    Upper

    ISA offers course level recommendations in an effort to facilitate the determination of course levels by credential evaluators.We advice each institution to have their own credentials evaluator make the final decision regrading course levels.

    Hours & Credits

  • ECTS Credits

    6
  • Recommended U.S. Semester Credits
    3
  • Recommended U.S. Quarter Units
    4
  • Overview

    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

    TYPE OF ASSESSMENT
    Final exam – Individual assessment
    Individual assignment - Individual assessment

    ENTRY REQUIREMENTS
    Analysis, basic probability theory, basic programming

Course Disclaimer

Courses and course hours of instruction are subject to change.

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