The course introduces science students to the main concepts of financial derivatives, financial risk and risk management, as well as to the quantitative methods of pricing of financial derivatives, and risk measurement and management (Value-at-Risk methodology). As hands-on practice, students must a) form a (virtual) portfolio of real assets, monitor its risk, and report weekly on its performance (returns), b) forecast the market prices of certain assets, and c) create and price their own call and put options.
Introduction to financial systems, markets, and financial derivatives. Futures and options contracts. Swaps. Types of options and option positions. Option pricing methods: binomial-tree methods and the Black-Scholes model; assumptions about how stock prices evolve (Wiener process, Ito process), expected return, volatility, risk-neutral valuation. Hedging risk (naked and covered positions, delta-hedging). The Value-at-Risk (VaR) measure. VaR of a portfolio of assets; estimating volatilities and correlations. Liquidity risk, credit risk. The Basle Accord.
The courses of the Computer Science Department are designated with the letters "CS" followed by three decimal digits. The first digit denotes the year of study during which students are expected to enroll in the course.
First Digit
Advised Year of Enrollment
1,2,3,4
First, Second, Third and Fourth year
5,6
Graduate courses
7,8,9
Specialized topics
Code
Computer Science Area
A1
Computer architecture and microelectronics
A2
Computer systems, parallel and high performance computing
A3
Computer security and distributed systems
A4
Computer networks, mobile computing, and telecommunications
B1
Algorithms and systems analysis
B2
Databases, information and knowledge management
B3
Software engineering and programming languages
B4
Artificial Intelligence and machine learning
C1
Signal processing and analysis
C2
Computer vision and robotics
C3
Computer graphics and human-computer interaction
C4
Βioinformatics, medical informatics, and computational neuroscience
The following pages contain tables (one for each course category) summarizing courses offered by the undergraduate studies program of the Computer Science Department at the University of Crete. Courses with code-names beginning with "MATH" or "PHYS" are taught by the Mathematics Department and Physics Department respectively at the University of Crete.