2025 (Current Year) Faculty Courses School of Environment and Society Department of Technology and Innovation Management Graduate major in Technology and Innovation Management
Financial Engineering
- Academic unit or major
- Graduate major in Technology and Innovation Management
- Instructor(s)
- Takuji Matsumoto
- Class Format
- Lecture
- Media-enhanced courses
- -
- Day of week/Period
(Classrooms) - unknown
- Class
- -
- Course Code
- TIM.A418
- Number of credits
- 100
- Course offered
- 2025
- Offered quarter
- 3Q
- Syllabus updated
- Jul 18, 2025
- Language
- Japanese
Syllabus
Course overview and goals
Financial engineering is an applied academic field that seeks to analyze and solve decision-making problems (such as investment decisions, risk management, and market trading) using mathematical and engineering approaches. While originally developed for financial markets, these techniques are increasingly applied to support decision-making in business management and corporate strategy. This course introduces fundamental concepts such as portfolio theory, asset pricing models, and option pricing theory, while also covering applied topics such as real options analysis, market forecasting models, and weather derivatives. Through hands-on exercises using Excel, the course aims to help beginners understand the material with ease and experience the intersection of theory and practice. Furthermore, from the perspectives of technology management and risk management, the course seeks to enhance students’ abilities to handle uncertainty in business.
Course description and aims
By the end of this course, students will be able to:
(1) Understand basic theories in financial engineering and develop the ability to quantitatively analyze relationships between risk and return.
(2) Acquire practical skills in data analysis, visualization, and decision support through exercises.
(3) Apply decision-making frameworks that take uncertainty into account.
Student learning outcomes
実務経験と講義内容との関連 (又は実践的教育内容)
Drawing on practical experience in data analysis within private-sector companies, the course also covers hands-on analytical techniques.
Keywords
Portfolio selection, derivatives, real options, risk management, Excel exercises
Competencies
- Specialist skills
- Intercultural skills
- Communication skills
- Critical thinking skills
- Practical and/or problem-solving skills
Class flow
The course will primarily consist of lectures, with some sessions including hands-on exercises using Excel.
Course schedule/Objectives
| Course schedule | Objectives | |
|---|---|---|
| Class 1 | Guidance | Understand the structure and purpose of the course and the theories and applications to be covered. |
| Class 2 | Portfolio Theory | Understand efficient asset allocation and its mathematical foundations. |
| Class 3 | Asset Pricing Models | Learn the basics of models like CAPM and analyze real data to understand the risk-return relationship. |
| Class 4 | Random Walk and Option Pricing | Deepen understanding of random walks and option pricing models through simulations. |
| Class 5 | Time Series Analysis and Forecasting Models | Learn basic time series methods and forecasting models, and verify them practically using Excel. |
| Class 6 | Real Options Analysis | Learn decision-making approaches under uncertainty and apply simulations in Excel. |
| Class 7 | Weather Derivatives | Understand the structure and practical significance of financial products that address weather-related risks. |
Study advice (preparation and review)
To enhance effective learning, students are encouraged to spend approximately 100 minutes preparing for class and another 100 minutes reviewing class content afterwards (including assignments) for each class.
They should do so by referring to textbooks and other course material.
Textbook(s)
None specified. Distribute lecture slides via LMS.
Reference books, course materials, etc.
Advanced Modelling in Finance Using Excel and VBA, by Mary Jackson and Mike Staunton, Wiley
Financial Engineering: Economic Analysis of Portfolio Selection and Derivative Assets (in Japanese), by Yukio Noguchi and Mariko Fujii, Diamond Inc.
Evaluation methods and criteria
Grades will be based on participation in lectures and exercises (30%) and submitted reports (70%).
Related courses
- TIM.C520 ： Energy Market and Risk Management
Prerequisites
None