General information:
Lectures: Room 119 building 427.
Exercises: Dataroom 47 building 303.
Time: 08.00-12.00, every Tuesday from 02/09/2008 to 02/12/2008 (both days inclusive).
No lectures on the 14/10/2007 due to autumn holidays.
1- Bonds.
2- Term-Structure.
3- (CTD)-Futures.
4- Equity-and FX-Options.
5- Interest rate derivatives.
6- Inflation-Linked Products.
7- Other Markets, Shipping, Commodity etc.
8- Exotic Options.
9- Credit-Derivatives.
10- Mortgage Bonds, Capped-Floaters etc.
There will be 13 lectures and a number of assignments following each lecture. The assignments are to be solved in Excel, using FinE as the main tool (see www.fineanalytics.com). For students with knowledge of programming languages (like C#, C++, C or VB) it will - to a certain degree - be allowed/possible to use FinE from this environment instead. All students will be given a free time-limited version of FinE. It is possible for students to extend this license in case FinE could be of interest or/and relevant for the future assignments at DTU, like for example in connection with the Master Thesis. Some knowledge of Excel/VBA is required, but knowledge of Finance is not required. The students will be graded based on a final project. The final project will be released mid November 2008. Much of the knowledge gained by doing the assignments during the course will be of indirect use in the final project. Note that this course is a prerequisite for the course Optimization in Finance
Part 1 in The Professional Risk Managers Handbook - PRMIA, www.prmia.org
Additional material will be made available in certain cases, like for example for Mortgage Bonds, Capped-Floaters
Options, Futures, and Other Derivatives John C. Hull (2005), 6th edition.
Will be available at campusnet.
Will be available at campusnet.