Industrial Engineering and Management Ma, Management science, 6 credits

Syllabus:

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
  • Answerable department: Information Systems and Technology
  • Answerable faculty: Faculty of Science, Technology and Media
  • Established: 4/27/2011
  • Date of change: 4/5/2019
  • Version valid from: 9/1/2019

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, 6.0 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

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.

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
Förutom böcker i form av kurslitteraturen förväntas studenten söka upp relevanta vetenskapliga artiklar samt metodbeskrivningar från andra böcker under arbetet med inlämningsuppgifterna

The page was updated 6/10/2021