# 2017/2018  KAN-CFIVO1001U  Quantitative Methods

 English Title Quantitative Methods

# Course information

Language English
Course ECTS 7.5 ECTS
Type Mandatory
Level Full Degree Master
Duration One Semester
Start time of the course Autumn
Timetable Course schedule will be posted at calendar.cbs.dk
Study board
Course coordinator
• Peter Raahauge - Department of Finance (FI)
• Finance
• Statistics and quantitative methods
Last updated on 30-05-2017

Learning objectives
To achieve the grade 12, students should meet the following learning objectives with no or only minor mistakes or errors: When presented with a problem dealt with in the course, the student should be able to solve the problem using the appropriate software in a way similar to how the problem was solved during the course. When presented with a problem, which is similar but different from the problems dealt with in the course, the student should be able to solve the problem, based on a theoretical understanding of the problems dealt with in the course.
Examination
Course content and structure

The course provides the quantitative tools necessary for following courses like Investments and Empirical Finance successfully.

The course takes a hands-on approach to the material, and a central part of course is worked examples (exercises with guiding solutions), which the students are supposed to implement using appropriate IT-tools like Excel, VBA, and/or R. The course uses a "flipped classroom" approach, see http://en.wikipedia.org/wiki/Flip_teaching: The theoretical foundation for the worked examples is explained using screencasts available on the Internet for viewing on demand. The students work with the worked examples. The scheduled classes are used for personalized guidance with respect to theory and implementation of the worked examples.

Theoretical topics covered in the worked examples include:

Analysis: Functions and their properties, Differentiation and Taylor series approximations, Equation solving, Optimization, Integration

Linear Algebra: Vector and matrix algebra, Linear equation systems

Statistics: Random variables and probability distributions, Inference, Hypothesis testing, Regression models, Basic Time Series models, Monte Carlo methods

To the extent the theoretical topics are known from prerequisite courses, the topics will be elaborated (ex: two- or N-dimensional stochastic distributions), addressed in alternative ways (ex: Monte Carlo "proof" of formulas for stochastic variables), and/or used to introduce software functionality.

IT topics covered in the worked examples, to the extend time permits, include:

Excel: Data import and data types, Formulas, references and names, Tables, Graphs, Solver add-in, Data analysis add-in

VBA: Functions, Subs, Local variables, Arrays, For-loops and If-statements, Debugging, Monte Carlo Methods.

Teaching methods
Flipped classroom with a mix of traditional lectures, on-line lectures, worked examples (exercises with guiding solutions) and classes with personalized guidance.
Feedback during the teaching period
In addition to the mixed classroom lectures during which the students will have the change to get help and get feedback on their exercises, where will be two voluntary hand-in exercises, similar to the exams, which will include student-to-student (peer-review) feedback based on a guiding solution.
 On-line lectures 33 hours Traditional lectures and flipped class-room. 33 hours Working with worked examples incl. reading 140 hours Exam 4 hours
Expected literature

Mandatory literature

• Sydsæter, Hammond, Strøm and Carvajal: Essential Mathematics for Economic Analysis; 5rd ed., 2016, Pearson (or similar).
• David Skovmand: Supplementary Notes on: Linear Algebra, Probability and Statistics for Empirical Finance, 2013, downloadable.
• Robert L. McDonald: An Introduction to VBA in Excel, 2000, downloadable.
• Notes and Worked Examples.

Supplementary literature:

• Reference books on Excel and VBA. Popular bestsellers like 'Excel 2013 Bible' and 'Excel 2013 Power Programming with VBA' by John Walkenbach are each very extensive (>1000 pages) and available on-line at CBS for free.
• Selected sections of Financial Markets and Investments, Claus Munk, 2015, downloadable, will help motivating the curriculum.
Last updated on 30-05-2017