Course syllabus - Mathematical Statistics and Financial Software

Objectives

A broad array of common problems in business and finance can be solved through the use of specialized software designed to model the unpredictable behavior of financial variables. The aim of this course is to give a survey of existing statistical, financial and risk management software, and study some software systems in more details.
 

Learning outcomes

At the end of the course the student is expected to be able to

- price various financial instruments using different platforms
- use the Hull–White model, the LIBOR market model, and the option adjust spread model for pricing credit derivatives and repo instruments
- calculate different risk characteristics for the cases of desk, consolidated, and limit risk management
- understand data models and create the simplest SQL queries
- understand and explain mathematical foundations of all the above calculations
 

Course content

- A review of existing statistical, financial and risk management software, such as SPSS, Excel or R
- Cash flow instruments and instruments with underlyings
- Interest rate models: the Hull-White model, the LIBOR market model, and the option adjust spread model
- Pricing credit derivatives and repo instruments
- Desk risk management, consolidated risk management, and limit management
- Data models and Structured Query Language
 

Tuition

Students work in small study groups using the teacher as an advisor. Projects are undertaken where students are expected to use software systems in solving real-world problems.
 

Specific requirements

Methods of Statistical Inference, 7.5 credits or equivalent. In addition Swedish course 3/Swedish course B and English course 6/English course A are required. For courses given entirely in English exemption is made from the requirement in Swedish course 3/Swedish course B.

Examination

Projects (PRO1), 4.5 credits, marks Pass (G) or Pass with distinction (VG)
Seminars (SEM1), 3 credits, marks Pass (G) or Pass with distinction (VG)
 

A student who has a certificate from MDU regarding a disability has the opportunity to submit a request for supportive measures during written examinations or other forms of examination, in accordance with the Rules and Regulations for Examinations at First-cycle and Second-cycle Level at Mälardalen University (2020/1655). It is the examiner who takes decisions on any supportive measures, based on what kind of certificate is issued, and in that case which measures are to be applied.

Suspicions of attempting to deceive in examinations (cheating) are reported to the Vice-Chancellor, in accordance with the Higher Education Ordinance, and are examined by the University’s Disciplinary Board. If the Disciplinary Board considers the student to be guilty of a disciplinary offence, the Board will take a decision on disciplinary action, which will be a warning or suspension.

Grade

Three-grade scale