course-details-portlet

TIØ4317 - Empirical and Quantitative Methods in Finance

About

Examination arrangement

Examination arrangement: Written examination
Grade: Letters

Evaluation form Weighting Duration Examination aids Grade deviation
Written examination 100/100 4 hours C

Course content

The course covers financial econometrics and financial optimization and risk management. Financial optimization part deals with selection of portfolios of securities by taking balance between risk and return using different risk measures: variance, VaR and other. Portfolios of fixed income securities, index tracking are considered among others. Models for descriptive statistics, regression analysis, quantile regression, principal component analysis, time series models, multivariate models, co-integration, volatility and correlation, regime switch models, panel data, discrete choice models, simulation. The course also covers a lecture on how to write empirical master thesis / academic papers.

Learning outcome

Position and function within the study program: This is an elective course in the 8. semester of the MTIØT program, and is part of the qualification for the specialization in Financial Engineering. It builds on TIØ4145 Corporate Finance. We make use of the knowledge gained in the compulsory courses in mathematics, statistics and information technology, in TIØ4116 Microeconomics and Investment Analysis and in TIØ4126 Optimization and Decision Support. The course fits well with TIØ4140 Project Evaluation and Financing. It contributes to the learning objective of the MTIØT program, point 4.1, Portfolio selection, Financial risk measurement and management, Financial econometrics.

The course will convey the following knowledge: -The theoretical foundation regarding analysis of financial data, portfolio optimization and risk management, practical usage of software and databases, how to write empirical master thesis and academic papers.

The course will develop the following skills: -Training to think about portfolios of financial assets as result of balance between risk and return, capabilities to formulate and solve portfolio optimization problems in static and dynamic setting, understanding of methods of processing of financial data.

Learning methods and activities

Lectures, exercises and computer lab using different software. In order to be approved for exam the students must solve at least 80% of exercises. Detailed rules about exercises will be given with the start of semester. The course will be given in English if foreign students prefer this. All material will be in English.

Compulsory assignments

  • Exercises

Further on evaluation

If there is a re-sit examination, the examination form may change from written to oral.

Specific conditions

Exam registration requires that class registration is approved in the same semester. Compulsory activities from previous semester may be approved by the department.

Course materials

Stavros Zenios, Practical Financial Optimization: Decision Making for Financial Engineers (selected chapters).

Chris Brooks, Introductory Econometrics for Finance, Cambridge University Press. (All chapters)

Credit reductions

Course code Reduction From To
FIN3002 7.5 01.09.2007
More on the course

No

Facts

Version: 1
Credits:  7.5 SP
Study level: Second degree level

Coursework

Term no.: 1
Teaching semester:  SPRING 2021

No.of lecture hours: 3
Lab hours: 2
No.of specialization hours: 7

Language of instruction: English

Location: Trondheim

Subject area(s)
  • Technological subjects
  • Economics

Examination

Examination arrangement: Written examination

Term Status code Evaluation form Weighting Examination aids Date Time Digital exam Room *
Spring ORD Written examination 100/100 C
Room Building Number of candidates
  • * The location (room) for a written examination is published 3 days before examination date. If more than one room is listed, you will find your room at Studentweb.
Examination

For more information regarding registration for examination and examination procedures, see "Innsida - Exams"

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