Programming with Applications in Finance

FIE450 Programming with Applications in Finance

Autumn 2021

  • Topics

    • principles of programming in R
    • data processing
    • volatility models
    • derivatives pricing
    • portfolio optimization
    • single-factor model
    • performance evaluation

  • Learning outcome

    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:

    Knowledge:

    • recall the principles of programming in R;

    Skills:

    • 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.

    General competence:

    • utilize the obtained programming and modeling skills for solving problems in finance.

  • Teaching

    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.

    It will be possible to follow the course digitally.

  • Required prerequisites

    Successful completion of the course FIE400E(N) is required. Basic knowledge in programming.

  • Requirements for course approval

    None

  • Assessment

    The final grade is based on a portfolio of two group assignments (4 members). Each assignment must be answered in English and counts 50% towards one final grade. Each group assignment will have an R-code as its delivery and needs to be submitted electronically."

  • Grading Scale

    A-F

  • Computer tools

    Programming language R.

  • Literature

    • 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

Overview

ECTS Credits
7.5
Teaching language
English
Semester

Spring. Offered Spring 2021.

Course responsible

Professor Nils Friewald, Department of Finance, NHH.