FM442 Half Unit
Quantitative Methods for Finance and Risk Analysis
This information is for the 2012/13 session.
Dr Philippe Mueller, OLD M2.16
This course is intended for students on the MSc Accounting and Finance, MSc Applicable Mathematics, MSc Finance and Economics, MSc Finance and Economics (Research), and MSc Financial Mathematics, MSc Management and Regulation of Risk, MSc Risk and Stochastics, MSc Risk and Finance and MSc Finance and Economics.
A background in statistics and mathematics is required. No prior programming experience is necessary but students without programming experience are highly encouraged to concurrently take FM457 MATLAB for MSc Students.
A graduate level course on the quantitative and statistical tools that are important in applied finance. Students will be exposed to application of these tools and the key properties of financial data through a set of computer-based classes and exercises. The following topics will be covered; review of statistics and introduction to time-series econometrics; modelling financial returns; an introduction to the analysis of financial data using MATLAB; volatility models; Value-at-Risk. Implementing the tools in MATLAB is an essential part of the course and all classes are computer based.
18 hours of lectures, six hours of computer classes plus five hours of classes (student presentations) in MT.
Problem sets to be solved using MATLAB. In addition, students will have the opportunity to present the results of a problem set to the class.
The core text for this course is:
Jon Danielsson, Financial Risk Forecasting, John Wiley & Sons, 2011.
Extra readings will be assigned for selected topics.
A one-and-a-half hour written examination in the ST (75%), a 2,000 word project (20%) and a group presentation (5%).