# Financial Statistics

### News

• Hint. You can find matklab routines for computing European Call options for a variety of models on the Valuation of Derivative Assets course home page. Specifically, look at computer exercise 2 and the file opt_price.p
• The take home project has been distributed during the lecture. Please drop by my office if you haven't recieved a copy and intend to present at a seminar. <
• Doodle for the December seminar on December 16th in MH:330 between 10:15-12:00. The January seminar will be in MH:330 on January 9th in MH:330 between 10:15-12:00.
• Welcome to the first lecture on Monday November 4th at 10.15-12.00 in MH:Riesz

### Courseprogramme

The preliminary course programme for fall 2019 can now be found here: Courseprogramme

### 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. See also Conditional CIR moments 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 Lindstroem, tel 046-222 45 78, MH:225.

### General information

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

### Literature

Lindstrom, E., Madsen, H and Nielsen, J. N. (2015) , Statistics for Finance CRC Press/Chapman Hall
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

## Course Start

Introductory Meeting:
2019-11-04, 10:15
MH:Riesz

ht2

## Staff

Lecturer:
Erik Lindstroem Assistants: Samuel Wiqvist

## 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)