Industrial Engineering and Management Ma, Management science, 6 credits
Please note that the literature can be changed/revised until:
• June 1 for a course that starts in the autumn semester
• November 15 for a course that starts in the spring semester
• April 1 for a course that starts in the summer
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Syllabus:
Industriell organisation och ekonomi AV, Ekonomisk systemanalys, 6 hp
Industrial Engineering and Management Ma, Management science, 6 credits
General data
- Code: IG003A
- Subject/Main field: Industrial Engineering and Management
- Cycle: Second cycle
- Credits: 6
- Progressive specialization: A1N - Second cycle, has only first-cycle course/s as entry requirements
- Education area: Teknik 100%
- Answerable faculty: Faculty of Science, Technology and Media
- Answerable department: Information Systems and Technology
- Approved: 2011-06-07
- Date of change: 2019-04-05
- Version valid from: 2019-09-01
Aim
The course constitutes an in-depth study in system analytical methods for handling and modeling management problems. The course will give the student an understanding of and be able to apply standard methods for valuing financial and real assets, models for benchmarking and portfolio selection, as well as understanding of the criticisms directed at these methods.
Course objectives
After the course the student should be able to:
- account for market hypotheses,
- valuing financial and real options based on the binomial model,
- calculate real options using dynamic programming and the relationship between the binomial model and the Black Scholes formula,
- perform optimization and portfolio selection with regard to risks,
- perform benchmarking using data envelopment analysis and efficient frontiers
Content
Course consists of
- System analysis in management and economics, overall perspectives
- Market hypothesis
- Option, futures and forward contracts, strategies
- Calculating financial options with the binomial model
- Relation between the binomial method and black scholes formula for option valuation
- Optimization with respect to risks and portfolio selection
- DEA and calculations of efficient frontiers
- Orientation about other methods
Entry requirements
Business Organisation and Management BA (ABC), 60 credits including Individual assignment 15 credits and Risk- and decision analysis, 7,5 credits. Mathematical modelling, 6 credits and Mathematical Statistics, 6 credits.
Selection rules and procedures
The selection process is in accordance with the Higher Education Ordinance and the local order of admission.
Teaching form
The course will have lectures. The students project assignments. The project assignments can be done indvidually or in groups of two students
Examination form
R101: Written report and oral presentation, 6 Credits
Grade scale: Seven-grade scale, A, B, C, D, E, Fx and F. Fx and F represent fail levels.
6.0 hp, R101: Written report and oral presentation.
Grades: A, B, C, D, E, Fx and F. A-E are passed and Fx and F are failed.
Grading criteria for the subject can be found at www.miun.se/en/Student/Services/Grading-Criteria
The examiner has the right to offer alternative examination arrangements to students who have been granted the right to special support by Mid Sweden University’s disabilities adviser.
Grading system
Seven-grade scale, A, B, C, D, E, Fx and F. Fx and F represent fail levels.
Course reading
Required literature
- Author: Mun, J
- Title: Real Options Analysis
- Edition: Senaste
- Publisher: Wiley Finance
- Comment: Ingående om derivat och speciellt finansiella och reala optioner, finns på biblioteket som E bok
- Author: L.Schrage
- Title: Optimization modelling with Lingo
- Edition: Senaste
- Publisher: Lindo systems inc
- Comment: Lingo och optimerig i allmänhet, stokastiska optimieringsmodeller, modeller för portföljval samt data envelopment analys i synnerhet, boken kan laddas ner som pdf fil från lindo systems hemsida
Reference literature
- Author: Peters, E.E
- Title: Fractal market analysis- Applying chaos theory to investment and economics
- Edition: Senaste
- Publisher: John Wiley & Sons
- Comment: Kritik mot de metoder som gås igenom under kursen är främst hämtad från denna bok. Olika marknadshypoteser och portföljvalsmodeller samt diskussion om de antaganden de vilar på. Boken kan lånas på MIUNs bibliotek.