Course description

Quantitative Methods for Finance

Introduction

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.

Course content

Part I: Review topics

  1. Time value of money
  2. Probability theory
  3. Descriptive Statistics
  4. Sampling and Estimation
  5. Hypothesis testing

Part II: Regression analysis

  1. Simple linear regression
  2. Multivariate regression
  3. Issues in regression analysis

Part III: Modelling uncertainty with Matlab

  1. Introduction to Matlab
  2. Modelling uncertainty in financial markets
  3. Monte Carlo simulation
  4. Parameter selection

Learning outcome knowledge

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

Exam organisation

  • Written assignment: 50%
  • Written exam: 50%