The financial crises of the past decade have shown that financial markets are very dynamic and affect many aspects of our lives. There is a growing demand for people with insight in financial mathematical models and to what extend they fit to the "real" market.
Stocks and bonds play an important role in the economy. Companies issue stock as a means to acquire capital required for their investments. Counterparties in these transactions are investors like pension funds and insurance companies, but also individuals. Banks participate in stock and option trading but also write options and create other products. Attending the minor Finance you will study these products and learn how to determine their value as well as to understand the interplay between options, stocks, and bonds. All this using mathematical tools. However, learning to apply mathematical models in a practical setting may be of much wider use than just that. To be specific, working in finance involves dealing with uncertainty, and this topic you could easily encounter in your bachelor project or master's thesis.
All TU Delft students, provided they possess the prerequisite skills and knowledge. Specifically required: probability and statistics, at the level of TU Delft courses based on (the better part of) A modern introduction to probability and statistics by Dekking et al, or equivalent. Basic knowledge of and enthusiasm for mathematics as well as familiarity with Matlab or R is helpful (several courses require programming)
After successful completion of the minor program, the student:
- understands the workings of a number of financial products and the interaction between products in financial markets
- has knowledge of how financial risk is assessed and controlled
- has insight in the application of probabilistic and statistical methods in financial and economical problems
- has acquired skills to perform and interpret stochastic simulations.
The diagram below provides an overview of the minor Finance and the minor Mathematics and Finance and should help you decide which suits you best. Three of the courses are considered core finance courses and present in the programme of both minors, these are the red squares. For the minor Finance one should add the green courses, for Mathematical and Finance the blue ones. The courses are plotted with respect to two axes, the horizontal one ranging from fundamental to applied and the vertical one ranging from general to (more specific) finance. The character of each minor is now clear from the picture: Mathematics and Finance adds courses on the fundamental side, Finance on the applied side. Some courses are in fact quite general in nature, but focus on finance applications (Time Series, Monte Carlo). Here are brief course descriptions for the minor Finance courses:
Principles of Asset Trading WI3418TU, 6 ECTS
Financial products are used in two ways: as an investment and as a means of attracting investors. How does this work and how can one make smart choices? What choices do companies make to finance their ventures?
Option Valuation Methods WI3405TU, 6 ECTS
While doing Matlab assignments you are introduced to the partial differential equation of Black and Scholes (Nobel prize 1997). You learn to price several kinds of options by computer algorithms. Insights from stochastic models are transformed into numerical methods to price and hedge products and portfolios.
Introduction to Mathematical Finance WI3417TU, 6 ECTS
This course is at the mathematical core of the minor. It focuses on building and analysing models that can be applied in finance. An example is the stochastic model for stock or interest rate movement, which provides a basis to price American options.
Time Series WI3411TU, 4 ECTS
Many financial phenomena are modeled as time series and enormous amounts of data are available. These models are analysed and you learn how to derive and estimate important parameters, like the volatility of a stock price.
Monte Carlo Methods WI3425TU, 3 ECTS
Performing (stochastic) simulations is the central theme of this course. These simulations enable one to determine model properties (probabilities, expectations), which cannot be computed in other ways. Generic methods to do this efficiently are covered, and applied to option pricing.
Risk Management WI3421TU, 3 ECTS
How do financial institutions deal with risk and what instruments do they use to control this risk? An extremely important issue, also (even more?!) for supervisory institutions and governments. This course is connected to almost everything else.
Current Issues in Finance WI3430TU, 2 ECTS
Weekly discussion based on recent news from the financial world, which is analysed from the viewpoint of the minor courses. Students present problems and starting points for the discussion, as well as analyses of companies.
Clinic WI3420TU, 0 ECTS
Weekly drop-in service hour: one of the instructors is available for questions and the department aims to have work space available. Entirely optional!
For the minor Finance the requirements are good skills in probability and statistics and affinity with mathematics, as mentioned earlier. There has not been any formal checking of these requirements in the past and this will not change. For minor Finance participants the entrance test on the first day of classes is meant to be a diagnostic tool: for you to find out where you stand, for us to get an general impression of what is known well and what not.
Dr.ir. L.E. Meester
Faculty Electrical Engineering, Mathematics and Computer Science
+31 (0)15 27 87258