Прикладные модели с использованием языка Python

Магистратура 2024/2025

ID 680967

Статус: Курс по выбору (Инвестиции на финансовых рынках)

Направление: 38.04.08. Финансы и кредит

Кто читает: Отдел сопровождения учебного процесса в магистратуре

Где читается: Факультет экономических наук

Когда читается: 2-й курс, 2 модуль

Формат изучения: без онлайн-курса

Охват аудитории: для своего кампуса

Преподаватели: Жарковский Максим Олегович

Прогр. обучения: Инвестиции на финансовых рынках

Язык: русский

Кредиты: 3

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Аннотация

The goal of this course is to provide students with practical skills in modeling financial instruments using Python libraries. Successful work in financial markets requires specialists to possess knowledge and skills in analyzing large amounts of diverse data. Building effective trading strategies today relies heavily on software tools. Knowledge of financial instrument pricing models and the ability to apply them in practice is an integral part of a financial engineer's training.

Цель освоения дисциплины

The course "Applied Financial Engineering Models Using Python" aims to introduce students to modern technologies for analyzing financial instruments. This course emphasizes the practical application of quantitative finance models. The theoretical component is presented to the extent necessary for understanding the models' key characteristics and properties. Conceptually, the course is based on the approach adopted by international universities and business schools, which focuses on the applied aspects of financial engineering. This requires the mandatory study of software tools necessary for solving practical problems. Python libraries are proposed as such a tool. This language has become the de facto standard in financial data processing. A distinctive feature of Python is its relative accessibility and ease of learning. The language's computational libraries allow for the implementation of a wide variety of quantitative finance algorithms. Students are introduced to classic option pricing models. Exotic financial products are also considered, in particular the barrier option model, which is very popular among investors. The course focuses on issues related to the modeling of interest rate instruments. Quantitative equity portfolio management and financial econometrics are also emphasized. The material in this course can be used in preparing a final thesis.

Планируемые результаты обучения

Иметь представление об основных моделях ценообразования финансовых инструментов и предпосылки их практического применения;
Разрабатывать инвестиционные стратегии и моделировать оптимальный портфель, используя численные библиотеки Python;