Quantitative Finance

Good command of English. All classes and extracurricular activities are conducted in English. Applicants are expected to have at least 2 years of University level studies. Knowledge of the Russian language is not required

The cultural program includes:

• Field trip to the Stock Exchange "St. Petersburg" and the Money history museum where students get knowledge of features of modern production of banknotes and contactless payments; 
• Boat city tour for students to get unforgettable emotions from a walk along the narrow rivers and canals of the city; 
• Excursion to the Hermitage, the second largest and oldest art museum in the world; 
• Visit to Hyundai/Nissan Motor Manufacturing for students to understand production and business processes in company; 
• Excursion to Peterhof palace-ensemble with picturesque gardens, a countless number of fountains and giant golden statues (optional, for extra price); 
• Picnic at the seashore of the Gulf of Finland where students can enjoy informal meetings, different games outside and Russian traditional barbecue (optional, for extra price); 
• Trip to “Heineken” Brewery for students to get acquainted with production process and culture of consumption of products (optional, for extra price).

ECTS 2,0

Outline: This module is designed to introduce you to the key principles of the modern portfolio theory approach to investing and its implications on security selection and asset pricing. This module aims to introduce you to the theoretical background for the application of portfolio selection and asset pricing and accustom them with applying modern portfolio theory for the practice of investment management. Its main objective is to develop a good understanding of investment risk-return characteristics, the benefits of diversification, and the main equilibrium models for asset pricing. It also provides you with the skills required for security selection, portfolio construction and portfolio performance measurement.

ECTS 2,0

Outline: Being able to perform some basic coding is becoming more and more important in the financial industry where R, Matlab and Python are widely used. Using those (sophisticated) programming languages allows to automate certain processes which helps for the analysis and decision making process and becomes one of those skills more and more analysts should have. Gaining some knowledge in any of those computer languages should allow someone to learn the syntax of other programmes which provides students with the skills to undertake more sophisticated analysis.

This module introduces Matlab programming to students without Matlab knowledge. To make programming more interesting and to demonstrate the relevance to finance, Matlab coding is taught using finance examples in the field of asset management, portfolio theory and valuation. Handling, manipulating and operating on matrices, writing and calling functions/procedures, using loops, conditional statements and optimisations are skills which need to be performed frequently by financial analysts. The finance examples are focusing on valuation (i.e. bond pricing, NPV), portfolio theory (i.e. efficient frontier), style analysis, estimation of factor models and simulations.

ECTS 2,0

Outline: This course provides overview of advanced financial econometrics techniques for analysis and modelling of time series data, such as prices, volatilities and return of the main cryptocurrencies, exchange or interest rates, share prices and etc. During this course we discuss briefly theory and foundations of econometrics and in depth specific modeling techniques of financial econometrics. Students will apply discussed techniques for analysis, modelling and forecasting key characteristics of financial data using STATA software. In addition, special attention will be paid to modelling relationships between several financial series. The knowledge and methods acquired in this course are particularly useful and sought after in the public/government and private/industry financial sectors. This module introduces Stata-modeling to students without Stata knowledge.

6-hours intensive course of Survival Russian is also included into the syllabus.