Subject

Introduction to Financial Engineering

Course Title

Introduction to Financial Engineering
Introduction to Financial Engineering

Code

m23_w_025

Study Programme

—

Organizer of the study programme (unit, institute, department or division)

Faculty of Computer Science and Engineering

Degree level (first, second, third cycle)

Second cycle

Academic year / semester

9 / Winter

Number of ECTS credits

Teacher

Lasko Basnarkov

Prerequisites for enrolling in the course

—

10.

Objectives of the course programme (competences)

Students will gain a basic understanding of financial theory.,
financial markets and products. They will become familiar with practical problems and
quantitative procedures for solving them. Students will understand the basics
Mechanisms for financial derivatives and portfolio diversification

11.

Course content

Fixed-income securities. Options and other financial derivatives. Determining option prices using binomial methods.
Models. Black-Scholes-Merton equation. Monte Carlo simulations in finance. Portfolio analysis.

12.

Learning methods

Lectures supported by slide presentations, interactive lectures, exercises (using equipment and software packages), teamwork, case studies, guest lecturers, independent preparation and defense of a project assignment and seminar paper, learning in an electronic environment (forums, consultations).

13.

Total available time

6 ECTS x 30 hours = 180 hours

14.

Distribution of available time

60 + 0 + 45 + 45 + 30 = 180 hours

15.

Forms of teaching activities

15.1.	Lectures - theoretical instruction	60 hours
15.2.	Exercises (laboratory, auditory), seminars, teamwork	0 hours

16.

Other forms of activities

16.1.	Project assignments	45 hours
16.2.	Independent assignments	45 hours
16.3.	Home study	30 hours

17.

Assessment method

17.1.	Tests	15 points
17.2.	Seminar paper / project (presentation: written and oral)	45 points
17.3.	Activities and learning	15 points
17.4.	Final exam	0 points

18.

Grading criteria (points / grade)

up to 50 points	5 (five) (F)
from 51 to 60 points	6 (six) (E)
from 61 to 70 points	7 (seven) (D)
from 71 to 80 points	8 (eight) (C)
from 81 to 90 points	9 (nine) (B)
from 91 to 100 points	10 (ten) (A)

19.

Requirement for obtaining a signature and taking the final exam

completed activities 15.1 and 15.2

20.

Language of instruction

Macedonian and English

21.

Method for monitoring the quality of teaching

internal evaluation and survey mechanism

22.

Literature

22.1.	Required literature 1. Robert Dubil \| Financial Engineering and Arbitrage in the Financial Markets \| Wiley \| 2011 2. Robert Kosowski and Salih N. Neftci \| Principles of Financial Engineering \| Elsevier \| 2015 3. Robert Jarrow and Arkadev Chatterjea \| An Introduction to Derivative Securities, Financial Markets, and Risk Management \| World Scientific \| 2019
22.2.	Additional literature No. Author Title Publisher Year