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2023/2024  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 cand.merc. and GMA (CM)
Course coordinator
  • Claus Munk - Department of Finance (FI)
  • Kasper Lund-Jensen - Department of Finance (FI)
Main academic disciplines
  • Finance
  • Mathematics
  • Statistics and quantitative methods
Teaching methods
  • Face-to-face teaching
Last updated on 02-06-2023

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-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
Same examination form as the ordinary exam
The number of registered candidates for the make-up examination/re-take examination may warrant that it most appropriately be held as an oral examination. The programme office will inform the students if the make-up examination/re-take examination instead is held as an oral examination including a second examiner or external examiner.
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, 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
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: selected chapters from

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

Supplementary literature could include:

  • Sydsæter, Hammond, Strøm and Carvajal: Essential Mathematics for Economic Analysis; 5th ed., Pearson, 2016
  • 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.
  • David Skovmand: Supplementary Notes on: Linear Algebra, Probability and Statistics for Empirical Finance, 2013, downloadable.
Last updated on 02-06-2023