GRA 6515 Quantitative Methods for Finance
GRA 6515 Quantitative Methods for Finance
This course lays foundation for understanding of quantitative methods most commonly used in finance. These include time value of money, statistical concepts, probability concepts, hypothesis testing, regression analysis, and simulation methods. This course also introduces MATLAB programming, an essential programming language that will be used in the rest of the programme.
More specifically the students will develop their understanding with respect to the following topics:
- The time value of money and different ways to calculate compounding and discounting
- Basic probability theory and common probability distributions
- Standard statistical inferences such as point estimates, confidence intervals, hypothesis tests, and linear regressions.
- Applicability and limitations of the standard statistical inferences.
- Uncertainty in the financial market and simulation with uncertainty
- The structured algorithmic way of thinking and performing specific tasks
During the acquisition of the above-mentioned knowledge the students will acquire the following skills:
- Calculate compounding and discounting in different ways.
- Calculate expectations, variances, and covariances of random variables
- Calculate and interpret sample statistics such as mean, standard deviation, correlation, skewness, etc.
- Construct point estimates and confidence intervals given sample
- Conduct hypothesis tests given sample
- Estimate and interpret linear regression models
- Detect and remedy common violations of standard statistical inferences
- Simulate financial models with uncertainty
- Basic programming and code debugging in MATLAB
The acquired theoretical and practical knowledge provided by the course should enable the student to understand and be able to apply the standard statistical methods to analyze financial data. Further the student should acquire basic programming skills in MATLAB.
Part I: Review topics
- Time value of money
- Probability theory
- Descriptive Statistics
- Sampling and Estimation
- Hypothesis testing
Part II: Regression analysis
- Simple linear regression
- Multivariate regression
- Issues in regression analysis
Part III: Modelling uncertainty with Matlab
- Introduction to Matlab
- Modelling uncertainty in financial markets
- Monte Carlo simulation
- Parameter selection
Lectures (class participation and problem solving is essential).
Please note that while attendance is not compulsory in all courses, it is the student’s own responsibility to obtain any information provided in class that is not included on itslearning or in the text book.
This is a course with continuous assessment (several exam components) and one final exam code. Each exam component is graded by using points on a scale from 0-100. The components will be weighted together according to the information in the course description in order to calculate the final letter grade for the examination code (course). Students who fail to participate in one/some/all exam elements will get a lower grade or may fail the course. You will find detailed information about the point system and the cut off points with reference to the letter grades when the course start.
At resit, all exam components must, as a main rule, be retaken during next scheduled course.
Excel and MATLAB are both needed for this course. Familiarity with Excel is expected before the course starts. Prior knowledge of MATLAB is not required before the course starts.
Honour Code
Academic honesty and trust are important to all of us as individuals, and represent values that are encouraged and promoted by the honour code system. This is a most significant university tradition. Students are responsible for familiarizing themselves with the ideals of the honour code system, to which the faculty are also deeply committed. The expected behaviour and honour code is outlined here.
Any violation of the honour code will be dealt with in accordance with BI’s procedures for cheating. These issues are a serious matter to everyone associated with the programs at BI and are at the heart of the honour code and academic integrity. If you have any questions about your responsibilities under the honour code, please ask.
All courses in the Masters programme will assume that students have fulfilled the admission requirements for the programme. In addition, courses in second, third and/or fourth semester can have specific prerequisites and will assume that students have followed normal study progression. For double degree and exchange students, please note that equivalent courses are accepted.
| Assessments |
|---|
Exam category: Submission Form of assessment: Written submission Weight: 40 Grouping: Group/Individual (2 - 3) Duration: 1 Semester(s) Exam code: GRA65151 Grading scale: Point scale leading to ECTS letter grade Resit: All components must, as a main rule, be retaken during next scheduled course |
Exam category: Submission Form of assessment: Written submission Invigilation Weight: 60 Grouping: Individual Support materials:
Duration: 3 Hour(s) Comment: Written examination under supervision. Exam code: GRA65151 Grading scale: Point scale leading to ECTS letter grade Resit: All components must, as a main rule, be retaken during next scheduled course |
A course of 1 ECTS credit corresponds to a workload of 26-30 hours. Therefore a course of 6 ECTS credits corresponds to a workload of at least 160 hours.
Group work (bi-weekly).