FIE450 Programming with Applications in Finance
Autumn 2019Spring 2020
- principles of programming in R
- data processing
- volatility models
- derivatives pricing
- portfolio optimization
- single-factor model
- performance evaluation
This course introduces students into programming based on R and demonstrates several useful applications of R in finance. The course gives students an advantage when pursuing a career in the financial industry.
After completing this course, students will have the ability to:
- recall the principles of programming in R;
- obtaining and analyzing financial data;
- estimate return characteristics;
- compute efficient portfolios by means of Markowitz optimization;
- recall the principles of single index models;
- estimate index models;
- price options by means of Monte-Carlo simulation;
- compute risk measures.
- utilize the obtained programming and modeling skills for solving problems in finance.
This course is taught using a combination of regular lectures and examples. The lectures are aimed at providing the core information about finance while the lecture examples shall help to comprehend and deepen the understanding of the key ideas of the lecture. The examples shall be worked out and implemented in R by each student individually. To encourage students to solve all the examples on their own there will be no code snippets made available by the lecturer; only the solutions.
Students are urged to bring their laptops to be able to solve the examples during the lecture.
Successful completion of the course FIE400E(N) is required. Basic knowledge in programming.
Requirements for course approval
The final grade is based on two group assignments (4 members), each weight 50%, graded on A-F and needs to be in English. Each group assignment will have an R-code as its delivery. Only the overall course grade will be presented on the transcript and the diploma.
Grading scale A-F.
Programming language R.
- Emmanuel Paradies, "R for Beginners", available on cran.r-project.org
- Longhow Lam, "An Introduction to R", available on cran.r-project.org
- Bodie Zvi, Alex Kane, and Alan J. Marcus, "Investments", McGraw-Hill, 2014
- John C. Hull, "Options, Futures and Other Derivatives", Pearson Prentice Hall, 2015
- ECTS Credits
- Teaching language
Spring. Offered spring 2019.
Professor Nils Friewald, Department of Finance, NHH.