MySchool

Department of Engineering
Dean:	Dr. Ármann Gylfason
Email:	ru@ru.is
Website:	http://www.ru.is/tvd
Teachers	View

MSc in Financial Engineering
Semesters:	4
Years:	2
ETCS:	120
About major	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.
Learning Outcomes	View
Education cycle	2

Legend
	Mandatory course on major		Teaching language
	Optional course on major		Prerequisites for course

Vorönn/Spring 2024

Energy Financial Assessment

SE-833-FA2

ECTS 6

Engineering Optimization

T-423-ENOP

ECTS 6

Sleep

T-424-SLEE

ECTS 6

Decision Analysis for Management

T-603-AKVA

ECTS 6

Internship in Engineering I

T-706-INT1

ECTS 6

Internship in Engineering II

T-706-INT2

ECTS 6

Systems Biology

T-765-SYBI

ECTS 8

Project Management and Strategic Planning

T-803-VERK

ECTS 8

Derivatives and risk management

T-814-DERI

ECTS 8

Creating a Complete Business Plan for a Technical Idea - Entrepreneurship and the Innovation Process

T-814-INNO

ECTS 8

Modern Trends in Financial Engineering

T-816-MTFE

ECTS 8

Year

1. year

Semester

Spring 2024

Level of course

First cycle - Advanced / Second cycle - Introductory

Type of course

Elective

Prerequisites

T-303-VERD, Securities
T-503-AFLE, Derivatives
T-516-CORP, Corporate Finance for Engineering
T-602-RISK, Risk Management

Schedule

No schedule found.

Lecturer

Sverrir Ólafsson

Content

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

Learning outcome - Objectives

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.

Course assessment

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

Reading material

No reading material found.

Teaching and learning activities

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

Language of instruction

English

Tissue Engineering and Biomaterials

T-828-TISS

ECTS 8

Graduate Research Opportunities I