This course is compulsory on the BSc in Financial Mathematics and Statistics. This course is available on the BSc in Actuarial Science and BSc in Mathematics, Statistics and Business. This course is available with permission as an outside option to students on other programmes where regulations permit and to General Course students.
This course is compulsory on the BSc in Financial Mathematics and Statistics. This course is available on the BSc in Actuarial Science and BSc in Mathematics, Statistics and Business. This course is available with permission as an outside option to students on other programmes where regulations permit and to General Course students.
This course will be delivered through a combination of classes, lectures and Q&A sessions totalling a minimum of 30 hours across Michaelmas Term. This year, some of this teaching may be delivered through a combination of classes and flipped-lectures delivered as short online videos. This course includes a reading week in Week 6 of Michaelmas Term.
Students will be expected to produce 9 problem sets in the MT.
Lecture notes will be provided Lai, T.L. And Xing H. (2008) Statistical Models and Methods for Financial Markets. Springer.Tsay, R. S. (2005) Analysis of Financial Time Series. Wiley.Ruppert, D. (2004) Statistics and Finance ? an introduction. Springer.Fan, Yao (2003) Nonlinear Time Series.Hastie, Tibshirani, Friedman (2009) The Elements of Statistical Learning.Haerdle, Simar (2007) Applied Multivariate Statistical Analysis.
Exam (80%, duration: 2 hours) in the summer exam period. Coursework (20%) in the MT. The course will be assessed by an examination (80%) and a coursework (20%) involving case studies which will be submitted in MT.