The course is characterized by the following aims:

- Emphasizing the strong quantitative background of engineering students within financial markets, in terms of data analysis and decision making.
- Acquring the skill for a successful career
- in banking, insurance, or wealth management;
- in high-end consultancy firms;
- in the software industry for financial applications;
- in the risk management offices of large corporations.

Knowledge:
Financial markets: actors, primary and secondary markets; market microstructure.
Pricing and risk factor analysis pricing for assets traded on financial markets.
Using financial instruments for both portfolio management and corporate risk management.
Skills:
Ability of interpreting what actually happens on financial markets (e.g.: What are the causes and consequences of subprime mortgaege crisis? What is a speculative bubble? What are derivatives?).
Thoughtful application of mathematical modeling tools to financial reality, being aware of their limitations and pitfalls.
Understanding the relationship between financial markets and corporte policy.

Very solid mathematical background.
Probability theory (random variables, probability distributions, covariance and correlation).
Inferential statistics (hypothesis testing, linear regression).
Optimization models and methods (linear programming, including MILP; nonlinear programming and Lagrange / Kuhn-Tucker conditions; role of convexity/concavity).
Elementary corporate finance (investment analysis, and balance sheet).

Financial markets and intermediaries (1 ECTS)
Role of financial markets in general economy
Commercial/investment banks; insurance and pension funds; mutual funds
Primary and secondary markets
Electronic markets
Financial assets and their risk/return tradeoff (1 ECTS)
Stocks, bonds, derivatives
Mutual funds, ETFs
Risk factors (market, interest rate, credit, exchange, and operational risk) and modeling uncertainty
Liquidity and market impact
Stock portfolio management (2 ECTS)
Decision making under uncertainty
Modern portfolio theory
Single and multiple factor models
Equilibrium models: CAPM and APT
Passive and active management
Market efficiency and behavioral finance
Bond portfolio management (1 ECTS)
Term structure, bond pricing and risk
Asset / liability management for life insurance and pension funds
Classical immunization
Active and passive bond portfolio management
Derivatives (2 ECTS)
Risk management using forward and futures contracts
Financial econometrics and stochastic calculus
Option classification, strategies and pricing
Swap contracts
Commodity derivatives

Application of theory to sample numerical problems (2 ECTS)
Analyzing business cases.

Z. Bodie, A. Kane, A. Marcus. Investments (8th edition). McGraw-Hill / Harvard Business School Press. 2008.
PDF slides posted on web portal.

Written exam; facultative oral exam.