Financial Engineering, BMETE15MF78

(A) Grading:

Please see https://physics.bme.hu/BMETE15MF78_kov?language=en

(B) Topic Description:

1. The goals of business usually combine many factors: responsible behavior, application of best practices in the interest of the client, product flexibility and stability, speed, profit, liquidity, and many others.

2. Accordingly, Financial Engineering is a composition of several areas:

   • Finance: Markets, Products
   • Math: Modeling, Data analysis
   • Coding: Software implementation and testing

3. Similarly to other fields, finance also has many of its own technical terms.

(C) Purpose of the course:

Show through examples how Finance, Math, Coding are connected.

(D) Structure of each lesson:

1. New material is presented. You must guide the lecturer with your questions.
2. Problems are solved together.

(E) How to use these jupyter notebooks on your computer:

1. Download the files from this github repository to your computer

   • either download all files in a single zip package or git clone the repo

2. Install anaconda on your computer

   • please see https://www.anaconda.com/products/individual

3. Open an anaconda prompt on your computer and install the conda environment

   • 3.1 change into the directory where you downloaded (or git cloned) the files of this repo
   • 3.2 execute this command: conda env create -f fin_course_env.yml

4. Activate the installed conda environment with

   • conda activate fin_course_env

5. At the anaconda prompt set up extensions:

   • set up nbextensions: jupyter contrib nbextension install --user
   • set up the rise extension:
     • install with jupyter-nbextension install rise --py --sys-prefix
     • initialize with jupyter nbextension enable rise --py --sys-prefix

6. Start using the notebooks in your default browser:

   • type jupyter notebook at your anaconda prompt

7. On the main page of jupyter notebook open the Nbextensions panel

   • 7.1. enable configurations by unchecking the disable box, if it is checked
   • 7.2. turn on the nbextension Table of Contents

8. Several notebooks will ask you to download free data that they process.

   • 8.1. First, please create your local subfolder called data in the folder that contains this README file.
   • 8.2. Second, download the requested files to this local data folder.

(F) Recommended Further Learning:

1. Courses:

   • 1.1 Arzu Ozoguz: Global Financial Markets and Instruments
     https://www.coursera.org/learn/global-financial-markets-instruments
   • 1.2 Damir Filipovic: Interest Rate Models
     https://www.coursera.org/learn/interest-rate-models
   • 1.3 Martin Haugh and Garud Iyengar: Financial Engineering and Risk Management Part I, also Part II
     https://www.coursera.org/learn/financial-engineering-1

2. Investopedia - Descriptions / Summaries / Short videos
   Example: https://www.investopedia.com/terms/f/fixedincome.asp , see also menu on the left
   Warning: avoid all ads

3. The Financial Modelers' Manifesto, by Emanuel Derman and Paul Wilmott (pdf, 2 pages)

(G) Acknowledgements

I would like to thank all those who found the time to teach me.