IE Business School IMBA: A new elective is born…

Applied Financial Engineering is a brand new course within IMBA. Similar to the financial engineering computer-based ones in Carnegie Mellon and MIT.

The course introduces numerical methodologies and computer programming in order to solve complex financial problems.

At the end of this course, students will be proficient in Financial Excel, Visual Basic (Excel) and Octave-MatLab software.

Students will be able to include the knowledge of three software packages in their CVs which, as a result, will be very useful in order to show quantitative/programming skills to potencial financial employers: Investment Banks, Hedge Funds, etc.

All double sessions will take place in a computer laboratory.

Specific areas like Random number generation, MonteCarlo simulation, Matrices, Correlation calculations, Efficient portfolio theory or derivatives programming will be covered.

This knowledge will be greatly applied in many other courses like: Portfolio Management, Derivatives, Fixed Income, Fixed Income Derivatives, Hedge Funds, Value At Risk and many others.

In Spain many financial advisory firms like NETVALUE CONSULTANTS (www.netvalue.es), ANALISTAS FINANCIEROS INTERNACIONALES (www.afi.es) o SUPERDERIVATIVES (www.superderivatives.com) use MATLAB in order to value structured products and derivatives.



Excel has become the financial tool of choice.


Like the BASIC programming language, Microsoft Visual Basic (Excel) was designed to be easy to learn and use. The language not only allows programmers to create simple GUI applications, but can also develop complex applications. Programming in VB is a combination of visually arranging components or controls on a form, specifying attributes and actions of those components, and writing additional lines of code for more functionality. Since default attributes and actions are defined for the components, a simple program can be created without the programmer having to write many lines of code. Performance problems were experienced by earlier versions, but with faster computers and native code compilation this has become less of an issue.


MATLAB is a numerical computing environment and fourth generation programming language. Developed by The MathWorks, MATLAB allows matrix manipulation, plotting of functions and data, implementation of algorithms, creation of user interfaces, and interfacing with programs in other languages. Although it is numeric only, an optional toolbox uses the MuPAD symbolic engine, allowing access to computer algebra capabilities. An additional package, Simulink, adds graphical multidomain simulation and Model-Based Design for dynamic and embedded systems. OCTAVE is a free software 100% compatible with MatLab.

I hope you like this brand new course !


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Jose Espin 29 enero 2010 - 20:00

Seria interesantisimo si el IE preparara algo asi para, ya sea exclusivo para los antiguos alumnos o bien una especie de “certificate”/ “diploma” bajo la sombrilla de los open enrollment programs como tienen otras escuelas de negocios, donde ex-mba pudieramos ir y tomar esos cursos de interes.

[…] the rest here: Applied Financial Engineering: A brand new elective within IMBA at … Share and […]

Francesco Marani 22 febrero 2010 - 21:17

Excellent. Really interested given that despite having worked in a consulting firm in finance (post-trading risk analysis) and investment bank (structured derivatives marketing support) I never learned the above skills and in particular the different programming languages. It will be really interesting to price some derivatives structure during the course – reverse convertible, digital, worst off….etc.

For people interested in getting introduced to structured products (derivatives) I recommend you this website. (there is a 14 days free trial).

I hope the above elective will also be available to students that participate in an internship…given that some of us interested in Banking and Finance are trying to get secure one.

Francesco Marani

Francesco Marani 22 febrero 2010 - 21:18
Gyms in Plymouth 13 agosto 2010 - 03:12

This sound like a fantastic opportunity for people getting this experience i envy them and wish i was able to participate myself, if i was 40 years younger!

Gyms in Plymouth

rabaty 31 agosto 2013 - 15:43

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