MySchool

Verkfræðideild
Deildarforseti:	Dr. Ármann Gylfason
Vefpóstur:	ru@ru.is
Vefsíða:	http://www.ru.is/tvd
Kennarar	Skoða

MSc í fjármálaverkfræði
Annir:	4
Ár:	2
Einingar:	120
Um námsleiðina	Fjármálaverkfræði er þverfagleg grein sem samþættir fjármálafræði við verkfræðilegar aðferðir, stærðfræðileg líkön, tölfræði, aðgerðagreiningu og hagnýta tölvunarfræði. Nám í fjármálaverkfræði hentar þeim sem hafa áhuga á t.d. áhættustýringu, afleiðuviðskiptum eða fjárstýringu. MSc námið er mótað að kröfum Verkfræðingafélags Íslands um fullnaðarmenntun í verkfræði.
Hæfniviðmið	Skoða
Námsstig	2

Táknmyndir
	Skyldufag á braut		Kennslutungumál
	Valfag á braut		Undanfarar fyrir námskeið

Vorönn/Spring 2024

Energy Financial Assessment

SE-833-FA2

6 Einingar

Verkfræðilegar bestunaraðferðir

T-423-ENOP

6 Einingar

Svefn

T-424-SLEE

6 Einingar

Ákvarðanatökuaðferðir

T-603-AKVA

6 Einingar

Starfsnám í verkfræði I

T-706-INT1

6 Einingar

Starfsnám í verkfræði II

T-706-INT2

6 Einingar

Systems Biology

T-765-SYBI

8 Einingar

Verkefnastjórnun og stefnumarkandi áætlunargerð

T-803-VERK

8 Einingar

Afleiður og áhættustýring

T-814-DERI

8 Einingar

Gerð viðskiptaáætlunar fyrir tæknilega hugmynd - Frumkvöðlafræði og nýsköpun

T-814-INNO

8 Einingar

Nýjar stefnur í fjármálaverkfræði

T-816-MTFE

8 Einingar

Ár

1. ár

Önn

Vorönn/Spring 2024

Stig námsgreinar

Grunnnám, sérhæft námskeið / Framhaldsnám, grunnnámskeið

Tegund námskeiðs

Valnámskeið

Undanfarar

T-303-VERD, Verðbréf
T-503-AFLE, Afleiður
T-516-CORP, Fjármál fyrirtækja fyrir verkfræðinema
T-602-RISK, Áhættustýring

Skipulag

Ekkert skráð skipulag.

Kennari

Sverrir Ólafsson

Lýsing

Level of course: 5. Second cycle, intermediate.Type of course: ElectivePrerequisites: Undergraduate degree in engineering plus selected finance courses such as Securities, Derivatives, Corporate Finance and Risk Management. Other prerequisites: Good programming knowledge in Excel, Matlab or Python.Content: The course will start with a discussion of basic mathematical techniques, such as numeraire, Radon-Nikodym derivative, Girsanov theorem, martingale theorem and change of measure. We will then demonstrate the important role these concepts play in the solution of practical financial engineering problems. The topics may vary from term to term and presently include

Models for Corporate Credit Risk
Credit Valuation Adjustment (CVA)
Extreme Value Theory (Black Swans)
Information Theory in Finance

Námsmarkmið

Learning outcome: In this course, we will discuss some recent developments and trends in financial engineering. The course will be practical, based on the need to find better and more efficient solutions to real financial engineering problems. At the same time, the approach will be based on theoretically sound principles and presentations. The course will engage the students in a range of practical and realistic problems and enable them to solve them with modern tools of financial engineering.Knowledge: On completion of this course, the students will have an extensive knowledge of the complexities in modern financial engineering and of the models and techniques that have been designed for their analysis. Students will appreciate the power of these modern methods when analysing complex practical problems.Skills: On completion of this course, students will be able to apply their acquired knowledge of financial engineering techniques to a whole range of important situations, either everyday pop-up problems or medium to long-term strategic issues. Important problems that will be analysed include the pricing of complex instruments as well as recent development in corporate credit risk management.Competence: On completion of this course, students will have a good understanding of how to analyse complex financial situations and be able to apply successfully the appropriate techniques to each given situation.

Námsmat

Continuous assessment; 35 - 40% projects, 60 65% class exams. No final exam.

Lesefni

Ekkert skráð lesefni.

Kennsluaðferðir

Runs for 12 weeks, 9.1.2023 31.3.2023, a total of 72 teaching hours. Interactive lectures, projects and class exams.

Tungumál

Enska

Vefjaverkfræði og lífefnisfræði

T-828-TISS

8 Einingar

Rannsóknarvinna í meistaranámi I