Financial Statistics

News

  • Remember that you need to submit the report 24 hours before the seminars. You do not need to make a Power Point presentation, however!
  • There was an error in SDEdataA.mat and SDEdataB.mat. That should now be fixed! Please download the data again to make sure that you have the most recent version.

  • The guest lecture will be in MH:227 on Wednesday 13th between 11-12. The guest lecturer is Johan Jerntorp, Head International Rates Sales at Danske. Also, remember that the exercise on Monday and lecture on Tuesday are cancelled.

  • Doodle for the project seminars
    . The data files
  • Lab 4 will be given as scheduled.
  • MLmax demo files now online
  • 13/11. We will schedule the seminars for the take home exam at the lecture tomorrow, Tuesday 14th
  • 26/10. Course start on Monday October 30th at 10.15 in MH:Riesz.

Courseprogramme

The preliminary course programme for fall 2017 can later be found here: Courseprogramme

There will be three or four seminars for you to present the take home exam/project. These will be on december 20th (10-12, 13-15) and early/mid January 5th and 9th (10-12).

Lectures

Note that there is often links to papers in the slides!

Exercises

  • Exercise 5: 14.1, 14.2
  • Exercise 4: Solve assignments 13.1, 13.2, 13.3
  • Exercise 3: Solve assignments 5.6, 7.3, 8.2, 8.5, 8.6 and 8.7, (and if you have time 7.1, 8.9)
  • Exercise 2: Solve assignments 5.5, 5.4 (and if you have time 5.6)
  • Exercise 1: Solve assignments 4.5, and 4.1 (if you have time).

Computer exercises

MLmax help: You can find a demo file and demo log-likelihood function.
  • Computer Exercise 4 can be found here: Financial Statistics lab 4 Data files needed are
  • Computer Exercise 3 can be found here: Financial Statistics lab 3. Data files needed are
  • Computer Exercise 2 can be found here: Financial Statistics lab 2. Data files needed are You may also want to use extra the Matlab routines ccc_mvgarch.p and ccc_mvgarch.m
  • Computer exercise 1 can be found here: Financial Statistics lab 1 You need some additional files: Sign up for the computer exercise via SAM
  • Course Coordinator/Lecturer

    Erik Lindström, tel 046-222 45 78, MH:221.

    Teaching assistant

    Carl Åkerlindh

    Course secretary

    Maria Lövgren

    General information

    University credits: 7.5 Grading scale: TH Level: A
    Language of Instruction: The Course will be given in English

    Lectures: (typically!) Tuesday 13.15-15.00 E:1406, Thursday 10:15-12:00 MH:Riesz
    Exercise: Monday 10:15-12.00 MH:229
    Computer exercises: Thurday 13-17 or Friday 8-12

    Computer exercises

    Aim

    The course should be regarded as the statistical part of a course package also including TEK180 Financial Valuation and Risk Management and FMSN25 Valuation of Derivative Assets. Its purpose is to give the student tools for constructing models for risk valuation and pricing, based on data.

    Knowledge and Understanding

    For a passing grade the student must:
    • handle variance models such as the GARCH family, stochastic volatility, and models use for high-frequency data,
    • use basic tool from stochastic calculus: Ito's formula, Girsanov transformation, martingales, Markov processes, filtering,
    • use tools for filtering of latent processes, such as Kalman filters and particle filters,
    • statistically validate models from some of the above model families.

    Skills and Abilities

    For a passing grade the student must:
    • be able to find suitable stochastic models for financial data,
    • work with stochastic calculus for pricing of financial contracts and for transforming models so that data becomes suitable for stochastic modelling,
    • understand when and how filtering methods should be applied,
    • validate a chosen model in relative and absolute terms,
    • solve all parts of a modelling problem using economic and statistical theory (from this course and from other courses) where the solution includes model specification, inference, and model choice,
    • present the solution in a written technical report, as well as orally,
    • utilise scientific articles within the field and related fields.

    Contents

    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.

    Formal required Qualifications

    FMSF10/FMS045 Stationary stochastic processes or corresponding courses.

    Assume Qualifications

    Preferably also one or several of MIO140 Financial Management, FMS051 Time series analysis, TEK180 Financial Valuation and Risk Management, and FMSN25MASM24 Valuation of Derivative Assets.

    Literature

    Lindstrom, E., Madsen, H and Nielsen, J. N. (2015) , Statistics for Finance CRC Press/Chapman Hall
    Additional handouts on the home page
    Errata errata can be found here

    Assessment

    Written report and oral presentation of a larger project and compulsory computer exercises. The course grade is based on the project grade.

 

Questions: Erik Lindström Top of page
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Course Start

Introductory Meeting:
2017-10-30, 10:15
MH:Riesz

Approximate start date:
Oct, 30, 2017

Reading periods:
ht2

Staff

Lecturer:
Erik Lindström Assistants: Carl Åkerlindh

Programmes


  • Stand-alone Courses
  • Engineering Physics
  • Industrial Engineering and Management
  • Master's Program in Mathematical Statistics
  • Engineering Mathematics
Centre for Mathematical Sciences, Box 118, SE-22100, Lund. Telefon: +46 46-222 00 00 (vx)