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2020/2021  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)
  • Johan Stax Jakobsen - Department of Finance (FI)
Main academic disciplines
  • Finance
  • Mathematics
  • Statistics and quantitative methods
Teaching methods
  • Blended learning
Last updated on 06-01-2021

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.
Prerequisites for registering for the exam (activities during the teaching period)
Number of compulsory activities which must be approved (see s. 13 of the Programme Regulations): 1
Compulsory home assignments
The student must get 1 out of 2 assignments approved in order to attend the ordinary exam. Students work individually on the assignments and submit answers in the form of an online multiple choice test.

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
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-point grading 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
  • In Paper format: Books (including translation dictionaries), compendiums and notes
The student will have access to
  • Access to Canvas
  • Access to the personal drive (S-drive) on CBS´ network
  • Advanced IT application package
Make-up exam/re-exam Home assignment - written product
Size of written product: Please see text below
Assignment type: Written assignment
Duration: Written product to be submitted on specified date and time.
Description of the exam procedure

The re-take examintion will be an onlione home assignement in the original timeslot for the written re-take exam.
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.
Online or in-class quizzes may be added in order to give students immediate feedback on their understanding of a given topic.
Students are encouraged to participate actively in lectures and exercise classes through questions and comments upon which the teachers try their best to provide immediate feedback.
Student workload
Lectures 33 hours
Exercises 14 hours
Preparation for lectures 66 hours
Preparation for exercise classes 66 hours
Exam 4 hours
Final preparation for exam 15 hours
Assignments 8 hours
Expected literature

Mandatory literature

  • Alexander, Carol. Market Risk Analysis, Volume 1: Quantitative Methods in Finance, Wiley, 2009

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.
  • 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).
Last updated on 06-01-2021