MTH5540 - Statistical learning in finance - 2019

6 points, SCA Band 2, 0.125 EFTSL

Postgraduate - Unit

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.

Faculty

Science

Organisational Unit

School of Mathematical Sciences

Chief examiner(s)

Associate Professor Jonathan Keith

Coordinator(s)

Associate Professor Jonathan Keith

Unit guides

Offered

Clayton

  • First semester 2019 (On-campus)

Co-requisites

Only students enrolled in the Master of Financial Mathematics can enrol in this unit. Exceptions can be made with permission from the unit co-ordinator.

Synopsis

Bayesian inference. Linear Gaussian models. Kalman filter. Maximum likelihood. Fischer information. Cramer-Rao bound. Supervised classification. Tree based methods. Support vector machines. Introduction to R.

Outcomes

On completion of this unit students will be able to:

  1. Develop specialised statistical knowledge and skills within the field of statistical learning.
  2. Understand the complex connections between specialised financial and mathematical concepts.
  3. Apply critical thinking to problems in statistical learning that relate to financial models.
  4. Apply estimation and calibration solving skills within the finance context.
  5. Formulate expert solutions to practical financial problems using specialised cognitive and technical skills within the fields of statistical learning.
  6. Communicate complex information in an accessible format to a non-mathematical audience.

Assessment

Examination (3 hours): 60% (Hurdle)

Continuous assessment: 40%

Hurdle requirement: To pass this unit a student must achieve at least 50% overall and at least 40% for the end-of-semester exam.

Workload requirements

Two 1.5-hour lectures and one 1-hour applied class per week

See also Unit timetable information