Quantitative Financial Analysis 2 credits BU.230.710.xx Class Day/Time & Start/End Date Semester Class Location Instructor Full Name Contact Information Phone Number: (###)###-#### E-mail Address: Office Hours Day/s Times Required Text and Learning Materials: Stochastic Simulation and Applications in Finance with MATLAB Programs, (2008), Huu Tue Huynh, Van Son Lai, Issouf Soumare (HLS) th MATLAB: An Introduction with Applications 4 Edition (2010) or earlier Editions, Amos Gilat (AG) Software: Matlab, student version (provided by Carey) Optional Reference Book: th th Options, Futures and Other Derivatives, 7 or 8 Edition, John C. Hull Blackboard Site A Blackboard course site is set up for this course. Each student is expected to check the site throughout the semester as Blackboard will be the primary venue for outside classroom communications between the instructors and the students. Students can access the course site at https://blackboard.jhu.edu. Support for Blackboard is available at 1-866-669-6138. Course Evaluation As a research and learning community, the Carey Business School is committed to continuous improvement. Therefore each student must complete the course evaluation as part of the continuous improvement process. Information on how to complete the evaluation will be provided near the end of the course. Disability Services Johns Hopkins University and the Carey Business School are committed to making all academic programs, support services, and facilities accessible. To determine eligibility for accommodations, please contact the Carey Disability Services Office at time of admission and allow least four weeks prior to the beginning of the first class meeting. Students should contact Rachel Hall in the Disability Services office by phone at 410-234-9243, by fax at 443-529-1552, or email: firstname.lastname@example.org. Important Academic Policies and Services Honor Code Statement of Diversity and Inclusion Tutoring BU.230.710.xx– Quantitative Financial Analysis – Instructor’s Name – Page 2 of 4 Carey Writing Center Inclement Weather Policy Students are strongly encouraged to consult the Johns Hopkins Carey Business School Student Handbook and Academic Catalog and the School website http://carey.jhu.edu/syllabus_policies for detailed information regarding the above items. Course Description: This course is intended to deal with the fundamentals of Monte Carlo simulation techniques and their applications in finance. Using Matlab as the programming platform, this course will expose students to hands-on computer exercises on advanced quantitative topics. This course will train students to become familiar with simulation techniques in modern financial engineering. Matlab is widely used in many science disciplines and is also emerging as one of the most popular programming platforms in the financial industry. Course Overview: The past financial crisis showed how difficult it is to correctly price financial instruments. In the course, students will learn how to apply stochastic calculus and simulation techniques to solve financial problems and also how to develop and/or adapt the existing contingent clam models to support financial engineering platforms and applications. The coverage of options pricing and interest rate derivatives builds heavily on what you learned in Derivatives. Course topics are as follows, MATLAB Monte Carlo Simulations Options Pricing Interest Rate Derivatives Credit Derivatives Value at Risk Student Learning Objectives for This Course All Carey graduates are expected to demonstrate competence on four Learning Goals, operationalized in eight Learning Objectives. These learning goals and objectives are supported by the courses Carey offers. For a complete list of Carey learning goals and objectives, please refer to the website http://carey.jhu.edu/LearningAtCarey/LGO/index.html. The learning objectives for this course are: 1. You should be able to write an efficient Matlab code. 2. You should be able to perform Monte Carlo Simulations. 3. You should be able to price options and other derivatives. 4. You should be able to compute Value at Risk. 5. You should be able to analyze term structure models. 6. You should be able to asses credit risk. Attendance Policy Attendance and participation are part of your course grade. Students are expected to attend all scheduled class sessions. Each class will include programming exercises. Failure to attend class will result in an inability to achieve the objectives of the course. Excessive absence will result in loss of points. Assignments There will be six homework assignments, each worth 7%. Please see their assigning and due dates in the course calendar. All programming assignments should be emailed to TA, and the names of your files should always start with “DC_” and end with “_your last name” (example: DC_HW1_StuUrban ). Homework #1: MATLAB computation and programming Homework #2: MATLAB computation and programming BU.230.710.xx– Quantitative Financial Analysis – Instructor’s Name – Page 3 of 4 Homework #3: Probability, MATLAB computation and programming Homework #4: Monte Carlo simulation Homework #5: Valuing options Homework #6: Interest rate and credit derivatives Evaluation and Grading Assignment Learning Outcome Weight Attendance and participation* 1, 2, 3, 4, 5, 6 10% Homework** 1, 2, 3, 4, 5, 6 42% Final Exam*** 1, 2, 3, 4, 5, 6 48% Total 100% *Programming exercises during classes will not be graded, but should always be emailed to TA to show your attendance and effort. **Each student has to write their Matlab codes independently, although discussions of assignments among students are encouraged. ***Final Exam will be given at the last class, and it will cover all course topics. Important notes about grading policy: The grade for good performance in a course will be a B+/B. The grade of A- will only be awarded for excellent performance. The grade of A will be reserved for the select few who demonstrate extraordinarily excellent performance. *The grades of D+, D, and D- are not awarded at the graduate level. Grade appeals will ONLY be considered in the case of a documented clerical error. Tentative Course Calendar* *The instructors reserve the right to alter course content and/or adjust the pace to accommodate class progress. Week Date Content Reading Assignments Programming in Matlab: AG: Chapters 1, 2, 3, 1 mathematical expression, script HW#1 Assigned and 4 files, and arrays Programming in Matlab: AG: Chapters 5, 6, HW#2 Assigned 2 conditional statements, loops, and 7 HW#1 Due plot, and user-defined functions Probability, Statistics, and Simulations: probability theorems, random number HLS: Chapters 1, 2, HW#3 Assigned 3 generators, correlated normal 3, and 4 HW#2 Due random numbers, and applications in Gaussian copula model and operational risk Monte Carlo: estimating π, geometric Brownian motion, and HW#4 Assigned 4 HLS: Chapter 5 pricing European Options with HW#3 Due Monte Carlo Option Pricing: Delta hedging, pricing Asian options with Monte HLS: Chapters 9 and HW#5 Assigned 5 Carlo, and pricing American 10 HW#4 Due options with binomial trees BU.230.710.xx– Quantitative Financial Analysis – Instructor’s Name – Page 4 of 4 Interest Rate Derivatives and Credit Derivatives: modeling interest rate, pricing bond HLS: Chapters 11 HW#6 Assigned 6 options and interest rate caps, and 12 HW#5 Due pricing credit default swaps and other credit derivatives Market Risk: Value at Risk, and its estimation with historical 7 HLS: Chapter 14 HW#6 Due simulation, parametric approaches, and Monte Carlo 8 Final Exam Copyright Statement Unless explicitly allowed by the instructor, course materials, class discussions, and examinations are created for and expected to be used by class participants only. The recording and rebroadcasting of such material, by any means, is forbidden. Violations are subject to sanctions under the Honor Code.
Pages to are hidden for
"Options"Please download to view full document