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2018/2019  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
Study Board for MSc in Economics and Business Administration
Course coordinator
  • Claus Munk - Department of Finance (FI)
Main academic disciplines
  • Finance
  • Mathematics
  • Statistics and quantitative methods
Teaching methods
  • Face-to-face teaching
Last updated on 20-06-2018

Relevant links
Learning objectives
The student should be able to solve quantitative problems similar to those dealt with in the course using appropriate mathematical and statistical concepts and methods as well as relevant IT tools.
Examination
Quantitative Methods:
Exam ECTS 7,5
Examination form Written sit-in exam on CBS' computers
Individual or group exam Individual exam
Assignment type Written assignment
Duration 4 hours
Grading scale 7-step scale
Examiner(s) One internal examiner
Exam period Autumn
Aids Limited aids, see the list below:
The student is allowed to bring
  • USB key for uploading of notes, books and compendiums in a non-executable format (no applications, application fragments, IT tools etc.)
  • Any calculator
  • Books (including translation dictionaries), compendiums and notes in paper format
The student will have access to
  • Access to CBSLearn
  • Access to the personal drive (S-drive) on CBS´ network
  • Advanced IT application package
Make-up exam/re-exam
Same examination form as the ordinary exam
If the number of registered candidates for the make-up examination/re-take examination warrants that it may most appropriately be held as an oral examination, the programme office will inform the students that the make-up examination/re-take examination will be held as an oral examination instead.
Course content and structure

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


The topics covered include:

Analysis: Functions and their properties, Differentiation and Taylor series approximations, Equation solving, Optimization without or with constraints, 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

 

Examples from finance and economics are given throughout.


The couse also introduces students to how IT tools (e.g. Excel, VBA, Python or similar) can be used for solving quantitative problems in finance.

 

 

 
Description of the teaching methods
Lectures and exercises
Feedback during the teaching period
The students will be offered to hand in answers to a voluntary assignment similar to an exam problem set and obtain feedback from the teacher or teaching assistant
Student workload
Lectures 33 hours
Exercises 14 hours
Preparation for lectures 66 hours
Preparation for exercise classes 70 hours
Exam 4 hours
Final preparation for exam 19 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 (or similar).


Supplementary literature could include:

  • Robert L. McDonald: An Introduction to VBA in Excel, 2000, downloadable
  • 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.
Last updated on 20-06-2018