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
Organisational Unit
School of Mathematical Sciences
Chief examiner(s)
Coordinator(s)
Unit guides
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
Mathematical formulation of trading strategies; order book modelling; market Impact and optimal execution; efficient market hypothesis; the CAPM model; portfolio optimisation; optimal trading; correlation and covariance estimators; multivariate analysis; co-integration; micro-economy of derivatives pricing.
Outcomes
On completion of this unit students will be able to:
- Develop specialised financial skills within the fields of statistics and probability theory.
- Understand the complex connections between specialised financial and mathematical concepts.
- Apply critical thinking to problems in statistics and probability that relate to financial markets.
- Apply problem solving skills within the finance context.
- Formulate expert solutions to practical financial problems using specialised cognitive and technical skills within the fields of statistics and probability.
- 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