ME-431 Quantitative Methods in Finance
- ECTS Credits:
- 7.5
- Responsible department:
- School of Business and Law
- Course Leader:
- Trygve Kastberg Nilssen
- Lecture Semester:
- Autumn
- Teaching language:
- English.
- Duration:
- 1 term
The course is connected to the following study programs
- Master's Programme in Business Administration
- Master's Programme in Business Administration (5 years)
Teaching language
English.Prerequisites
Bachelor's degree in Business Administration or equivalent, includint Business analytics 2 (7.5 ECTS credits) or equivalent.
Course contents
The objective of this course is to endow the students with quantitative methods and programming tools required for financial economics. The students are going to learn how to apply the methods by working through practical examples drawn from and relevant for subsequent courses in the Analytical Finance specialization. After having learned matrix and linear algebra, the students are going to use this knowledge to solve optimization problems using the Lagrange multiplier and Kuhn-Tucker methods in the second part of the course.
Learning outcomes
Upon successful completion of this course the student should be able to
-
safely apply appropriate methods and concepts such as R-programming, portfolio theory, expected utility theory and measuring risk attitudes, in order to solve decision problems under uncertainty demonstrate advanced knowledge of and be able to safely carry out matrix/vector algebra, including, but not limited to, matrix/vector multiplication, determinants of matrices, and definiteness of matrices
-
demonstrate solid understanding of calculus and linear algebra in general, which the students should also be able to safely apply to solve problems in economics and finance
-
in particular, safely solve optimization problems using the Lagrange multiplier and Kuhn-Tucker methods
Examination requirements
Approved mandatory assignments. More information will be given in Canvas at the start of the semester.
Teaching methods
The course consists of lectures and group-work sessions. Estimated workload is about 200 hours.
Evaluation
End of course evaluation in accordance with the quality system for education, chapter 4.1.
Admission for external candidates
Yes, if there are places available.
Assessment methods and criteria
Individual written assignment (home examination) counts for 20 % and 3-hour written examination counts for 80 % of the final grade. Grading by letters.
Reduction of Credits
This course’s contents overlap with the following courses. A reduction of credits will occur if one of these courses is taken in addition:
| Course | Reduction of Credits |
|---|---|
| SE-412 – Quantitative Financial Economics | 7.5 |