Quantitative Finance & Economics Sections 01-02

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1 Quantitative Finance & Economics Sections Instructor Term Amira Annabi, PhD Fall 2016 Office Classroom DLS 404 De La Salle Hall 205 Office Phone Office Hours (718) MR: 3 pm 4 pm and by appointment Course Description This course provides an introduction to the mathematical tools needed to improve the students understanding of finance and economics theory. This course will introduce you to the basic quantitative methods used in investment, portfolio management as well as the pricing of financial securities. By the end of this course, you are expected to be able to solve intermediate finance problems using Excel as well as Bloomberg. Prerequisites: All students must have taken CIS 224 or its equivalent. All students must have a working knowledge of Microsoft Excel. You should be able to read in data, manipulate columns of data, make basic charts and be able to use basic statistical functions so as to obtain means, medians, variances and standard deviations of data. Learning Goals The major goal of this course is to provide students comprehensive understanding of the quantitative models underlying securities pricing and portfolio optimization. Students will be able to use the time value of money concept to choose among different investment opportunities. Students will be able to learn the exponential and logarithmic functions properties, and use this knowledge to price money market securities. Students will be able to estimate the expected return and risk of a risky asset like a stock. Students will be able to solve linear algebra problems, and apply it to portfolio management. Students will be able to improve their skills in Excel. Students will be introduced to Bloomberg software. Textbook and Materials This course has a required textbook The print copy is available at the college bookstore: Quantitative Finance for Undergraduates for Manhattan College Each lecture will be accompanied by detailed lecture notes posted weekly on Moodle. All readings and required practice problems will be timely announced on Moodle

2 You should come to class prepared, having read the assigned chapters and having completed the assigned problem sets. Some lectures will present material that goes beyond the book, and you might be provided with a number of additional handouts. Student should make sure that Excel is installed on his/her laptop, and would bring his/her laptop to class when asked by the instructor Exams Policies Midterm Exams Description There will be 2 midterm exams. The dates, and location, of both midterm exams are posted on Moodle. Each midterm exam accounts for 25% of your final grade. Both midterm exams will be MCQ examinations, and some questions may require the use of Excel. In that case, the exam will take place in a computer lab. Extra Credit questions will be offered. Instead of reaching for your calculator, use Microsoft Office Excel to do the math! No cheat sheets, or any documentation, is allowed. Final Exam The final exam will be a cumulative exam, and will take place in a computer lab. Exams Rules Should you have to miss an exam, please send me an 24h prior the date of the exam and provide any official document justifying it. Students missing the final exam with official excuses may be given a make-up exam after or during the finals, only if the student has passing grades. If you miss an exam without contacting me prior to the test, then you will receive an F. Please note, traffic jams or subway breakdowns are not valid excuses for missing a test. On the day of an exam, I expect you to leave in plenty of time to compensate for these relatively common occurrences. If you miss a regular class, it is your responsibility to inquire about the material you missed, and whether there was an important announcement in class If you are an athlete, then please remember: Assignment Policies Hand me your detailed game schedule during the first week of class. Should you miss a class because of a game, please send me an 24h before as a reminder. Should you have to miss an exam because of a game, please send me an 24h before the scheduled date of the exam, and we will arrange a make-up exam. Should you fail to do so, you will receive an F as a grade for the missed exam. There will be 4 group assignments. Each assignment is worth 5%, for a total of 20%. Groups are formed in the beginning of the semester. Once groups are formed, it is preferable that students do not switch groups. Groups consists in 2-3 students. Groups larger than 3 will not be accepted. No exceptions! Once you join a group, it is strongly encouraged to stay with the same group until the end of the semester. Questions relative to the assignments will be asked during the midterms. Quizzes Policies

3 There will be 4-5 individual quizzes, for a total of 10%. The date of the quiz is announced in class, and via Moodle, usually during the lecture before. Quizzes will take place in class, at the beginning of the lecture. They usually last between 10 and 15 min. Quizzes are usually MCQ. For some quizzes, we will be using an app called Socrative that will be introduced and explained in class. For others, it will be paper based. The format of each quiz will be announced beforehand. Extra Credit: BMC Certificate An opportunity to earn an extra credit of 10% of final score. Students need to successfully complete the Bloomberg Market Concepts (BMC) certificate by Thursday, December 1 st 2016 at 8pm. More information is available on Moodle. Evaluation Criteria and First Midterm Exam : 25% Second Midterm Exam : 25% Assignments and Quizzes : 30% Final Project (cumulative) : 20% Grading Schedule Letter grade Numerical Grade A 94 + A B B B C C C D D F 57 and below YOUR GRADE WILL BE DETERMINED ACCORDING TO THE ABOVE SCALE, NO EXCEPTIONS.

4 Course Outline (Subject to Change) A Simple Market Model Introduction Risk-free assets and Fixed Income (Midterm I) Risky assets (Midterm II) Time value of money Logarithmic and exponential functions Pricing fixed income instruments Equity valuation models Binomial model Random behavior of stocks Portfolio management (Cumulative Final) Linear algebra Portfolio of two securities Portfolio of several securities Class Policies and Procedures Academic Integrity The college policy on academic integrity will be strictly enforced in this class. A full statement of the policy can be found in the Student Handbook. The following violations of academic integrity will result in, at the minimum, an F for the course: 1. Copying from another student during an examination. 2. Consulting unauthorized notes during an examination (including material stored in an electronic device). 3. Exchanging information with another student during an examination. 4. Knowingly representing writings composed by someone else as your own. 5. Supplying the professor with false statements to excuse absences from class or examinations.

5 Professional Conduct One of our goals in the School of Business is to prepare you for a professional career and we wish to instill good habits through insisting on a high level of conduct in all your classes. The following behaviors are unacceptable in this class and will result in a loss of points for professional conduct: 1. Excessive tardiness. 2. Leaving while class is in session for reasons other than an emergency. 3. Failing to notify the professor by when you are absent from class. 4. In accordance with college policy, I will keep careful attendance records and file a report to the Dean s office when a student has four or more unexcused absences. 5. Working on non-course related assignments. 6. Failing to silence your cell phone. 7. ABSOLUTELY NO TEXT MESSAGING or Facebooking or tweeting 8. You cannot keep your cell phone on the desk/chair! Please note: No grades are assigned for attendance, but failure to excuse yourself when you are absent will result in minimizing your chances to benefit from extra credit points. Policy on Students with Disabilities Students with Disabilities should contact the Specialized Resource Center with their appropriate documentation, to obtain an "Academic Adjustment/Auxiliary Aid" form. When the student presents this completed form to the professor, the professor will then confer with the student on the fulfillment of the adjustments/aids listed on the form. The Center for Academic Success The Center for Academic Success provides tutoring in a wide range of subjects, including this course. Tutoring is designed to support students with their courses by providing content-specific assistance accessed through individual tutoring, study groups, or online tutoring. Please call or success@manhattan.edu to make an appointment. Walk-ins are also welcome. For a complete schedule of tutoring, please visit their website at