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.

PROGRAM: 20 SESSIONS

UNIT 1: FINANCIAL MICROSOFT EXCEL

Excel has become the financial tool of choice.

UNIT 2: VISUAL BASIC PROGRAMMING

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.

AREA 3: OCTAVE & MATLAB

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 !