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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 2024/25

* 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%

30% Coursework

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

For a student to pass the course, at least 30% of the maximum mark for the examination must be obtained.

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.

Examination Duration: 3 hours

Detailed Course Information

MA6622.pdf

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