Finance

TW-Mi-097

The financial world affects the life of all of us---this is undeniable given the events of the past fifteen years. Consequently, knowledge of and insight into this world has grown in importance and there is great demand for people with insight into financial mathematical models and the extent to which they describe the real market.

Stocks and bonds are some of the basic financial instruments: companies issue stock as a means to acquire the capital they require for their investments; the stock are bought by investors, like pension funds and insurance companies, but also individuals, all looking for a good rate of return; banks participate in stock and option trading, but also write options and create other products.

Attending the minor Finance you will study these products, learn methods to determine their value, as well as to understand the interplay between options, stocks, and bonds, all by using mathematical tools. Learning to work with mathematical models in a practical setting, specifically when trying to deal with uncertainty, may very well be of use to you in a much wider context.

Faculty of Electrical Engineering, Mathematics & Computer Science

ECs: 30

Language: English

Minimum participants: 30

Maximum participants: 120

Non-selection minor:
Selection minor:

Contact

Dr. Nestor Parolya

Education methods

Lectures, exercises, computer exercises, projects

Participating institutions

Faculty of Electrical Engineering, Mathematics & Computer Science

For whom?

All TU Delft students, provided they possess the prerequisite skills and knowledge. Specifically required: probability and statistics at the level of TU Delft courses based on (the better part of) A modern introduction to probability and statistics by Dekking et al, or equivalent. Basic knowledge of and enthusiasm for mathematics as well as familiarity with Matlab or R is helpful (several courses require programming).

What will you learn

After successful completion of the minor program, the student:

is able to explain the workings of a number of financial products and the interaction between products in financial markets;
is familiar with methods to assess and control financial risk;
has acquired insight in the application of probabilistic and statistical methods in financial and economical problems;
has acquired skills to perform and interpret stochastic simulations.

Course overview

The minor is composed of the following courses (each with a short characterization):

: Financial products are used in two ways: as an investment and as a means of attracting investors. How does this work and how can one make smart choices? What choices do companies make to finance their ventures?
: While doing Matlab assignments you are introduced to the partial differential equation of Black and Scholes (Nobel prize 1997). You learn to price several kinds of options using computer algorithms. Insights from stochastic models are transformed into numerical methods to price and hedge products and portfolios.
: This course is at the mathematical core of the minor. It focuses on building and analysis of stochastic models, which are applied in finance. It includes European and American option pricing using binomial model in discrete time and geometric Brownian motion together with the prominent Black-Scholes model in continuous time.
: Many financial phenomena are modeled as time series and enormous amounts of data are available. These models are analysed and you learn how to derive and estimate important parameters, like the volatility of a stock price.
: We learn how to use machine learning methods in Finance: neural networks, linear models, factor analysis and random matrix models with applications to option pricing and stochastic modeling. This is a project-related course.
: How do financial institutions deal with risk and what instruments do they use to control this risk? An extremely important issue, also (even more?!) for supervisory institutions and governments. This course is connected to almost everything else in the minor.
: Weekly discussion based on recent news from the financial world, which is analysed from the viewpoint of the minor courses. Students present problems and starting points for the discussion, as well as analyses of companies.
: Weekly drop-in service hour: an instructor is available for questions (Zoom sessions + Mattermost). Optional!

Information on the courses "Data Science in Finance" WI3435TU (new) and "Monte Carlo Methods" WI3425TU (old)

A new course called "Data Science in Finance" replaces "Monte Carlo Methods" in the minor Finance. Students that have not passed WI3425TU yet, have two (last) exam opportunities in 2022-2023, but they are also allowed to do the new course instead.