hamrita/btup

Jupyter notebooks on financial engineering.

(A) Topic Description:

1. Quantitative Finance / Financial Engineering is usually considered to be a composition of three main areas:

   • Financial markets and products
   • Quantitative modeling
   • Data processing and analysis

2. Goals are usually complex. Business needs speed, product flexibility, stability, low costs and high returns.
   Sometimes several of these at the same time.

3. Note that finance, similary to other fields, has many of its own technical terms.

(B) Structure of the course:

• The first half of the course is focused on unidirectional information flow from the lecturer to the students
• The second half of the course is focused on the short student presentations and student projects

(C) Grading:

• 1/3: short oral exam checking general understanding
• 1/3: small project with coding
• 1/3: seminar 30-40 min must contain: intro, concepts, quantitative description, example calculation, summary

(D) How to use these jupyter notebooks on your computer:

1. Install anaconda on your computer
   . please see https://www.anaconda.com/products/individual

2. Download the files from this github repository to your computer
   . either download all files in a single zip package or git clone the repo

3. Open an anaconda prompt on your computer and install the conda environment
   . 3.1 change into the directory where you downloaded (or git cloned) the files
   . 3.2 conda env create -f fin_course_env.yml

4. Activate the installed conda environment with
   . conda activate fin_course_env

5. At the anaconda prompt set up nbextensions with
   . jupyter contrib nbextension install --user

6. Start using the notebooks in your default browser:
   . type jupyter notebook at your anaconda prompt

7. On the main page of jupyter notebook open the Nbextensions panel
   . 7.1 enable configurations: uncheck the "disable" box, if it is checked
   . 7.2 turn on the nbextension "Table of Contents"

8. Several notebooks will ask you to download free data that they process.

(E) Recommended Further Learning:

1. Video courses:
   1.1 Arzu Ozoguz: Global Financial Markets and Instruments
   https://www.coursera.org/learn/global-financial-markets-instruments
   1.2 Damir Filipovic: Interest Rate Models
   https://www.coursera.org/learn/interest-rate-models
   1.3 Martin Haugh and Garud Iyengar: Financial Engineering and Risk Management Part I, also Part II
   https://www.coursera.org/learn/financial-engineering-1

2. Global Association of Risk Professionals (GARP): Financial Risk Manager (FRM) Learning Objectives
   This is a detailed syllabus with book titles

3. Investopedia - Descriptions / Summaries / Short videos
   Example: https://www.investopedia.com/terms/f/fixedincome.asp , see also menu on the left
   Warning: avoid all ads

(F) Planned Items:

1. Black-Derman-Toy model with calibration
2. Yield curve calculation from LIBORs(RFRs?) + Swaps + Bonds(?)