2019/2020  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
• Claus Munk - Department of Finance (FI)
• Finance
• Mathematics
• Statistics and quantitative methods
Teaching methods
• Face-to-face teaching
Last updated on 28-06-2019

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.
Prerequisites for registering for the exam (activities during the teaching period)
Number of compulsory activities which must be approved: 1
Compulsory home assignments
The student must get 1 out of 2 assignments approved in order to attend the ordinary exam. The students work in groups of 3 or 4. For each assignment, the group hands in a report (their answers to the questions stated in the assignment) of at most 3 pages per student.

Students will not have extra opportunities to get the required number of compulsory activities approved prior to the ordinary exam. If a student has not received approval of the required number of compulsory activities or has been ill, the student cannot participate in the ordinary exam.
If a student prior to the retake is still missing approval for the required number of compulsory activities and meets the pre-conditions set out in the program regulations, an extra assignment is possible.

The extra assignment is a 10 page home assignment that will cover the required number of compulsory activities. If approved, the student will be able to attend retake.
Examination
Course content, structure and pedagogical approach

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, exercises, assignments
Feedback during the teaching period
The students are offered feedback on their solution to the mandatory assignments from the teacher or teaching assistant.
In the exercise sessions students have the opportunity to check whether they are able to solve relevant exercises.
 Lectures 33 hours Exercises 16 hours Preparation for lectures 66 hours Preparation for exercise classes 64 hours Exam 4 hours Final preparation for exam 15 hours Assignments 8 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 28-06-2019