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MA6622 - Statistical Methods and Calibration in Finance and Actuarial Science

Offering Academic Unit
Department of Mathematics
Credit Units
3
Course Duration
One semester
Course Offering Term*:
Semester B 2023/24

* The offering term is subject to change without prior notice
 
Course Aims

This course aims to

  • introduce econometric theory and calibration methods applied to finance and insurance engineering, e.g. in implementation of interest rate models;
  • provide up-to-date knowledge of econometrics and calibrations for financial and economic time series, with emphasis on theories, case studies and use of software;
  • develop theory of relative-value and hedging progressively with a ‘financial engineering approach’; and
  • focus on specific aspects of pricing and hedging and with problems that a technical analyst or trader has to consider in practice.

Assessment (Indicative only, please check the detailed course information)
Continuous Assessment: 30%
Examination: 70%
Examination Duration: 3 hours
 
Detailed Course Information
MA6622.pdf

Useful Links
Department of Mathematics