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This course provides students with quantitative finance techniques like time-series analysis to analyze issues in finance. It focuses on asset pricing, investments, risk analysis, market structure, and return forecasting. The course introduces widely-used models for studying financial markets, including autoregressive, ARMA, and GARCH models. Students will apply these models and gain experience with real-world financial data. By completing the course, students will understand key risk concepts and be able to analyze and forecast financial variables and markets.

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37 views

fn3142 Cis

This course provides students with quantitative finance techniques like time-series analysis to analyze issues in finance. It focuses on asset pricing, investments, risk analysis, market structure, and return forecasting. The course introduces widely-used models for studying financial markets, including autoregressive, ARMA, and GARCH models. Students will apply these models and gain experience with real-world financial data. By completing the course, students will understand key risk concepts and be able to analyze and forecast financial variables and markets.

Uploaded by

zidanex2020
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Course information 2019–20

FN3142 Quantitative finance


This course is aimed at students interested in obtaining a thorough grounding in market
finance and related empirical methods.

Prerequisites Learning outcomes


If taken as part of a BSc degree, courses which At the end of this course and having
must be passed before this course may be completed the essential reading and activities
attempted: students should:

EC2020 Elements of econometrics and  To be able to demonstrate mastery of


EC2066 Microeconomics. econometric techniques required in order
to analyse issues in asset pricing and
market finance
Co-requisite
Students can only take FN3142 Quantitative
 To be able to demonstrate familiarity
with recent empirical findings based on
finance at the same time as or after FN3092 financial econometric models
Corporate finance, not before.
 To understand and have gained valuable
insights into the functioning of financial
markets
Aims and objectives  To understand some of the practical
This course provides the econometric issues in the forecasting of key financial
techniques, such as time-series analysis, market variables, such as asset prices, risk
required to analyse theoretical and empirical and dependence.
issues in finance. It provides applications in
asset pricing, investments, risk analysis and
management, market microstructure, and
return forecasting.
Essential reading
For full details, please refer to the reading list
Assessment Christoffersen, P.F., Elements of Financial Risk
This course is assessed by a three-hour unseen Management, Second Edition. (Academic
written examination. Press, London)

Diebold, F.X., Elements of Forecasting, Fourth


Edition. (Thomson South-Western, Canada)

Students should consult the appropriate EMFSS Programme Regulations, which are reviewed on an annual basis. The Regulations
provide information on the availability of a course, where it can be placed on your programme’s structure, and details of co-requisites
and prerequisites.

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Syllabus
This is a description of the material to be examined. On registration, students will receive a detailed
subject guide which provides a framework for covering the topics in the syllabus and directions to the
essential reading

Building on concepts introduced in course Topics addressed by this course are:


FN3092 Corporate finance and course  Concepts and measures of risk
EC2020 Elements of econometrics, this  Time-series analysis
course will introduce students to some  Empirical features of financial asset
widely-used models used to study and returns
forecast financial markets and familiarize  Market risk models
them with the properties of financial data.  Models of financial market correlations
Such data often comes in the form of time  Forecast evaluation methods
series, and thus much of the course will use  Risk management
methods from time series analysis. The  Asset allocation decisions
models to be covered include  Market microstructure and high
autoregressive and ARMA models, GARCH frequency data
models for volatility forecasting, and
models using high frequency (intra-daily) This course is quantitative by nature. It aims
asset prices. Students completing this however to investigate practical issues in
course will have seen and applied many of the forecasting of key financial market
the latest models used in financial variables and makes use of a number of
econometrics and will understand some of real-world data sets and examples.
the key features (both positive and
negative) of these models.

University of London External Programme 3

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