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.

30% Coursework

70% Examination (Duration: 3 hours, at the end of the semester)

Examination questions are designed to see how far students have achieved their intended learning outcomes. Questions will primarily be skills and understanding based to assess the student’s versatility in statistical and calibration methods of finance and actuarial science.