Course content

The course contents consists of two complementary parts:
1. The choice, estimation and validation of statistical models in finance. Examples are: simple/multiple regression, time series models, models with time varying volatility and correlation and regime switching models. Applications/examples will be from Corporate Finance and valuation, modern portfolio theory, option pricing and bond/term structures.
2. Financial optimizaiton and and risk management including quantitative methods for portfolio selection and risk management in finance and insurance, optmization for support of enterprize decisions under risk and uncertainty, evaluation of portfolios of industrial projects in different branches and development of integrated decision support based on optimization and financial methods.

Learning outcome

The students will learn to solve practical problems in finance by using empirical and numerical methods. The analysis will be performed using "real" data and reflect problem cases the student will face when entering a job situation. In the course, appropriate software will be used.

Learning methods and activities

Lectures, exercises and computer lab. In order to be approved for exam the students must choose and solve at least 25% 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. If there is a re-sit examination, the examination form may change from written to oral.

Compulsory assignments

• Exercises

Recommended previous knowledge

TIØ4145 Corporate Finance.

Course materials

Will be given at course start.

Credit reductions