Matematikcentrum

Lund University

Finansiell statistik

Kursplan

Beskrivning

The course deals with model building and estimation in non-linear dynamic stochastic models for financial systems. The models can have continuous or discrete time and the model building concerns determining the model structure as well as estimating possible parameters. Common model classes are, e.g., GARCH models with discrete time or models based on stochastic differential equations in continuous time. The course participants will also meet statistical methods, such as Maximum-likelihood and (generalised) moment methods for parameter estimation, kernel estimation techniques, non-linear filters for filtering and prediction, and particle filter methods. The course also discusses prediction, optimisation, and risk evaluation for systems based on such descriptions.

Nuvarande kursomgångar

Kursinformation

Kurskod LTH:FMSN60
Kurskod NF: MASM18
Poäng:7,5
Nivå:Avancerad nivå
Språk:Engelska

Förkunskapskrav

CEQ

CEQ - Finansiell statistik