Engineering in Finance
Engineering in Finance
Its a masters level course generally taught in the Summer semester every year.
Module leader: Prof. Dr. B. Choubey
Lecturer: Prof. Dr. B. Choubey
Language: English
Learning Outcomes
This is an introductory course to introduce financial markets to students of engineering. The students will appreciate the applications of signal processing and mathematical concepts in diverse arena of business and finance. The learning outcomes of this course are to
1. Explain and critically discuss the concepts behind financial engineering
2. Transfer signal processing knowledge to the financial markets
3. Understand derivatives and their pricing
4. Have an understanding of the theory of engineering of new financial products
5. Understand the fundamentals of AI in financial market
6. Analyze liquidity and risks involved in managerial decisions
Syllabus
- Financial accounting and corporate finance
- Time Series and Statistical Analysis
- Revisiting Probability, Expectation, Central Limit Theorem and Brownian motion
- Curve fitting, Autocorrelation, ARIMA, GARCH
- Investments, Futures, options and Derivative
- Financial Machine learning and Neural networks
- Decision, liquidity and risk
- Monte Carlo Simulations
- Introduction to Black-Scholes framework
Examination Style: K2
Media: Presentations placed online on Moodle
Textbook