COURSE INTRODUCTION AND APPLICATION INFORMATION

Course Name
Quantitative Methods in Finance
Code
Semester
Theory
(hour/week)
Application/Lab
(hour/week)
Local Credits
ECTS
ITF 304
Fall/Spring
3
0
3
6
Prerequisites
None
Course Language
English
Course Type
Elective
Course Level
First Cycle
Mode of Delivery -
Teaching Methods and Techniques of the Course Discussion
Lecturing / Presentation
Course Coordinator
Course Lecturer(s)
Assistant(s)
Course Objectives The aim of this lecture is to provide students with an understanding of the quantitative methods for finance and investment. This includes the ability to formulate problems into quantitative models, to aid the successful resolution of the problem. Using output from mathematical and statistical models, students will learn to analyze, interpret and derive potential outcomes from quantitative information.
Learning Outcomes The students who succeeded in this course;
  • will be able to demonstrate competency in numeric skills.
  • will be able to apply statistical methods to analyse past data and infer future trends.
  • will be able to derive outcomes.
  • will be able to analyse and interpret output from mathematical and statistical models.
  • will be able to select appropriate mathematical and statistical techniques for application to problems in the contexts of finance and investment.
  • will be able to apply mathematical knowledge to financial calculations and models.
Course Description This lecture guides the students through a wide array of mathematics, ranging from elementary basic mathematics, limit, derivative and integral, linear algebra and differential calculus to optimization and linear regression. These quantitative methods are illustrated with a rich and captivating assortment of applications to the analysis of portfolios, derivatives, exchange, fixed income securities and equities.
Related Sustainable Development Goals

 



Course Category

 Core Courses
Major Area Courses
X
Supportive Courses
Media and Managment Skills Courses
Transferable Skill Courses

 

WEEKLY SUBJECTS AND RELATED PREPARATION STUDIES

Week Subjects Required Materials
1 Introduction and Overview: The Importance of Mathematics in Finance
2 Financial Time Series and Their Features Rachev, S., Mittnik, S., Fabozzi, F., Focardi, S. and Jasić, T., Financial Econometrics: From Basics to Advanced Modeling Techniques. John Wiley & Sons, 2007
3 Basic Statistics Rachev, S., Mittnik, S., Fabozzi, F., Focardi, S. and Jasić, T., Financial Econometrics: From Basics to Advanced Modeling Techniques. John Wiley & Sons, 2007
4 Linear Relationship in Time Series analysis Classical Linear Regression Model (CLRM) Rachev, S., Mittnik, S., Fabozzi, F., Focardi, S. and Jasić, T., Financial Econometrics: From Basics to Advanced Modeling Techniques. John Wiley & Sons, 2007
5 Linear Time Series Analysis CLRM Assumptions Rachev, S., Mittnik, S., Fabozzi, F., Focardi, S. and Jasić, T., Financial Econometrics: From Basics to Advanced Modeling Techniques. John Wiley & Sons, 2007
6 Project
7 Univariate Time Series Modelling Rachev, S., Mittnik, S., Fabozzi, F., Focardi, S. and Jasić, T., Financial Econometrics: From Basics to Advanced Modeling Techniques. John Wiley & Sons, 2007
8 Univariate Time Series Modelling Rachev, S., Mittnik, S., Fabozzi, F., Focardi, S. and Jasić, T., Financial Econometrics: From Basics to Advanced Modeling Techniques. John Wiley & Sons, 2007
9 Project
10 Multivariate Models Rachev, S., Mittnik, S., Fabozzi, F., Focardi, S. and Jasić, T., Financial Econometrics: From Basics to Advanced Modeling Techniques. John Wiley & Sons, 2007
11 Multivariate Models Rachev, S., Mittnik, S., Fabozzi, F., Focardi, S. and Jasić, T., Financial Econometrics: From Basics to Advanced Modeling Techniques. John Wiley & Sons, 2007
12 Modelling Long Run Relationships in Finance Rachev, S., Mittnik, S., Fabozzi, F., Focardi, S. and Jasić, T., Financial Econometrics: From Basics to Advanced Modeling Techniques. John Wiley & Sons, 2007
13 Modelling Long Run Relationships in Finance Rachev, S., Mittnik, S., Fabozzi, F., Focardi, S. and Jasić, T., Financial Econometrics: From Basics to Advanced Modeling Techniques. John Wiley & Sons, 2007
14 Modelling Volatility Rachev, S., Mittnik, S., Fabozzi, F., Focardi, S. and Jasić, T., Financial Econometrics: From Basics to Advanced Modeling Techniques. John Wiley & Sons, 2007
15 Modelling Volatility Rachev, S., Mittnik, S., Fabozzi, F., Focardi, S. and Jasić, T., Financial Econometrics: From Basics to Advanced Modeling Techniques. John Wiley & Sons, 2007
16 Final Exam
Course Notes/Textbooks

Rachev, S., Mittnik, S., Fabozzi, F., Focardi, S. and Jasić, T., Financial Econometrics: From Basics to Advanced Modeling Techniques. John Wiley & Sons, 2007, ISBN: 978-0-471-78450-0
Suggested Readings/Materials

James H. Stock and Mark W. Watson, Introduction to Econometrics, Pearson Education, 2003, ISBN: 978-9352863501

Marek, Capiński, Mathematics for finance: an introduction to financial engineering, Springer, 2003, 0857290819

Alpha C., Chiang, Fundamental methods of mathematical economics, Auckland : McGrawHill, 1983, 3rd edition. ISBN:9780070108134

Statistics and Business Economics by P. Newbold W. L. Carlson, B. Thorne, 8/e, Prentice Hall, ISBN:9780132745659

Zvi Bodie, Alex Kane, Alan J. Marcus, “Essentials of Investment”, 2010, ISBN:9781259354977

John L. Teall and Iftekhar Hasan, “Quantitative Methods for Finance and Investments, 2002, ISBN: 9780631223399

 

EVALUATION SYSTEM

Semester Activities Number Weigthing
Participation
Laboratory / Application
Field Work
Quizzes / Studio Critiques
Portfolio
Homework / Assignments
Presentation / Jury
Project
2
40
Seminar / Workshop
Oral Exam
Midterm
Final Exam
1
60
Total

Weighting of Semester Activities on the Final Grade
2
40
Weighting of End-of-Semester Activities on the Final Grade
1
60
Total

ECTS / WORKLOAD TABLE

Semester Activities Number Duration (Hours) Workload
Course Hours
(Including exam week: 16 x total hours)
16
3
48
Laboratory / Application Hours
(Including exam week: 16 x total hours)
16
Study Hours Out of Class
14
3
42
Field Work
Quizzes / Studio Critiques
Portfolio
Homework / Assignments
Presentation / Jury
Project
2
20
Seminar / Workshop
Oral Exam
Midterms
Final Exams
1
45
    Total
175

 

COURSE LEARNING OUTCOMES AND PROGRAM QUALIFICATIONS RELATIONSHIP

#
 Program Competencies/Outcomes
* Contribution Level
1
2
3
4
5
1 To be able to identify and analyze problems in the field of trade and finance, and to develop solutions. X
2 To be able to use the theoretical and practical knowledge gained in the field of International Trade and Finance.
3 To be able to analyze the developments in global markets by using critical thinking skills. X
4 To be able to analyze and interpret data in the field of finance, commerce and economics by using information technologies effectively.
5 To be able to acquire knowledge about the legal regulations and practices in the field.
6 To be able to foresee and define the risks that could be encountered in the field of trade and finance and to take decisions to manage such risks.
7

To be able to acquire and use verbal and numerical skills necessary for the nature of the International Trade and Finance program.

 X
8

To be able to obtain, synthesize and report the information related to the fields of trade and finance.
9

To be able to contribute to the solution of problems as individual, team member or leader.
10

To be able to evaluate the issues related to the field with an ethical perspective and social sensitivity.
11

To be able to collect data in the areas of International Trade and Finance and communicate with colleagues in a foreign language ("European Language Portfolio Global Scale", Level B1).
12 To be able to speak a second foreign at a medium level of fluency efficiently.
13 To be able to relate the knowledge accumulated throughout human history to their field of expertise.

*1 Lowest, 2 Low, 3 Average, 4 High, 5 Highest