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Cursus: 201200138
201200138
Special Topics in Financial Engineering
Cursus informatieRooster
Cursus201200138
Studiepunten (ECTS)5
CursustypeCursus
VoertaalEngels
Contactpersoondr. R.A.M.G. Joosten
E-mailr.a.m.g.joosten@utwente.nl
Docenten
Examinator
dr. R.A.M.G. Joosten
Contactpersoon van de cursus
dr. R.A.M.G. Joosten
Collegejaar2021
Aanvangsblok
1B
AanmeldingsprocedureZelf aanmelden via OSIRIS Student
Inschrijven via OSIRISJa
Cursusdoelen
 
After completion of the course the student will be able to:
  • understand some of the difficulties in (modelling) interactive intertemporal decision making.
  • model and analyze stylized situations regarding this type of decision making.
  • name, interpret and use solution concepts accepted and relevant in the field for analytical purposes.
  • know and understand the tensions and (potentially dangerous) implications of having to choose between short term benefits and long term (expected) benefits (if applicable).
  • understand and interpret ethical dilemmas in economics, finance, decision making (if applicable).
  • organize and structure independent research efforts (meant as a stepping stone towards the end goal: the master thesis).
  • use or develop programming approaches, programming languages, computational processes useful for their paper or algorithm, but also connected to what (s)he intend to do in a pending internship or foresees to do in professional life afterwards.
Inhoud
Course objective 
 
The objective of this course is to provide opportunity to teach and to learn topics that are not part of existing courses, but are regarded important for their theoretical content or for a better preparation of the students for their internships or professional careers. The latter means to be able to function successfully in a working environment in which advice on strategic intertemporal decisions is required in an interactively changing strategic environment (not necessarily the working environment!). Students do independent research into the relevant topics. In one part emphasis is given to structuring and organizing the research questions and activities, to writing and structuring of the report. The report may consist of a model and the subsequent analysis of it (by mathematical tools or simulation), or may consist of an algorithm.
 
Course description In the academic year 2019-2020 we have planned the following topics:
  • Game Theory: at most 4 lectures by Reinoud Joosten.
  • Possible seminars by (mostly) invited or visiting guest speakers.
 
The seminars are obligatory and students are required to check the Canvas site of the Special Topics on a regular basis as appointments may be made on short notice. To be honest, they are quite rare as we depend on visitors for this aspect. If however, there is a visitor who can talk about an interesting topic, we would like him/her to present within the framework of Special Topics.
The game theory classes will pay special attention to the interaction of micro behavior and macro behavior. Agents act strategically and rationally (but not necessarily fully informed). Their actions may seem (intuitively) reasonable but their collective behavior may change the relevant strategic environment. Crucial is how agents evaluate these changing environments and the benefits to be derived in them, versus the immediate gains. If current actions cause immediate small gains (losses), but lead to large losses (gains) in the future we are in a special framework called social dilemmas. The stock market system may have characteristics comparable to a social dilemma, for instance if a stock seems a real good deal arbitrage will most likely wield out the advantage noticed; however, the framework of social dilemmas is by no means restricted to stock markets only. Other social dilemmas involve for instance environmental decisions, pollution or the exploitation of exhaustible or renewable resources, water management issues etc. Particular social dilemmas in the financial world involve for instance foreclosures in the housing market, reputations of banks applying or not applying for support from a national bank, investments into collective goods, investments under the threat of pig cycle like phenomena, should one allow restructuring of loans, or not? A paper is the main basis of the grading.
Voorkennis
This course is best suitable for students in their second or third semester of the master programme.
Participating study
Master Industrial Engineering and Management
Verplicht materiaal
-
Aanbevolen materiaal
Handouts
Handouts
Werkvormen
Hoorcollege
AanwezigheidsplichtJa

Toetsen
Assignment

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