BA191IU Quantitative Methods for Finance

VNU-International University School of Business

THE INTERNATIONAL UNIVERSITY

VNU-HCM

SCHOOL OF BUSINESS

COURSE SYLLABUS
BA191IU

Quantitative Methods for Finance

Semester 2, Year 2012-13

(Group 2: 57 students)

BA191IU Quantitative Methods for Finance

VNU-International University School of Business

0. COURSE STAFF Lecturer: Professor Michael Cain Room: IU207 Email: mcain@hcmiu.edu.vn Consultation hours: 13.00 to 15.00, Tuesdays, Wednesdays and Thursdays. Teaching Assistant: TBA Room: TBA Email: TBA Should students wish to meet the staff outside the consultation hours, they are advised to make an appointment in advance. Extra class times will be found, if possible, to meet any demand for extra help/tutorials with any problems. 1.0 Course title : Quantitative Methods for Finance 1.1 Class times and locations Lecture: Thursdays, periods 1, 2, 3 and 4, at 8.00am to 11.00am Venue: A402 1.2 Units of Credit: 3 1.3 Pre-requisite and/ or Parallel courses: The course presumes a basic understanding of calculus, probability and statistics. 1.4: Level: Student in 2nd year 1.5 Relationship of this course to others BA191IU Quantitative Methods for Finance focuses on theory and applications of quantitative analysis techniques to financial decision making. It is useful for all BA students taking some Finance. 2. COURSE OBJECTIVES AND LEARNING OUTCOMES 2.1 Course Objectives The course aims to introduce the basic theory of Mathematical and Stochastic Modelling in Finance, with applications to portfolio selection and option pricing. 2.2 Student Learning Outcomes On successfully completing the module, students should be able to: Evaluate probabilities involving games of chance and gambling; Evaluate the mean and variance of return of an investment portfolio; Appreciate the ideas of arbitrage and pricing via arbitrage; Demonstrate an understanding of risk attitudes and expected utility; Appreciate the Black-Scholes pricing of puts and calls.

BA191IU Quantitative Methods for Finance

VNU-International University School of Business

3. LEARNING ASSESSMENT 3.1 Formal Requirements In order to pass this course, the students must: achieve a composite mark of at least 50; and make a satisfactory attempt at all assessment tasks. 3.2 Assessment Details 2-hour written (closed-book) examination in May/June 2013 (50%); 1-hour written open-book test/exam at mid-term (25%) 1-hour written open-book test/exam towards the end of the course (25%) 3.3 Marking/Grading The letter grade will be followed by the University suggested rule: 90-100: A+, 80-90: A, 70 80: B+, 65 70: B, 55 65: C+, 50 55: C, 30 - <50: D+, 10 - <30: D 4. MODULE CONTENT The module will consider the following topics: Probability and distribution theory ; Mean, variance, covariance and portfolio return; Geometric Brownian motion; Present value analysis and rates of return; Pricing via arbitrage; Expected utility and portfolio selection; CAPM and mean variance analysis; Black-Scholes option pricing. Textbook: The main text for the course is: Sheldon M. Ross, An Elementary Introduction to Mathematical Finance: options and other topics, Cambridge University Press, 3rd Edition, 2011, ISBN 978-0-521-19253-8. Reference Books: Other relevant texts that may be consulted are: John C. Hull, Options, Futures and Other derivatives, Pearson Education International, 2009, ISBN-13: 978-0-13-500994-9 M.Capinski and T.Zastawniak, Mathematics for Finance: An Introduction to Financial Engineering, Springer, 2005, ISBN 978-1-85233-330-0. D.Higham, An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation, Cambridge University Press (2004). 4.2 Teaching Format: Four (45 minutes) lectures/tutorials per week throughout semester 2.