2018/19 Taught Postgraduate Module Catalogue
MATH5315M Applied Statistics and Probability
15 creditsClass Size: 80
Module manager: Dr Martin Lopez-Garcia
Taught: Semester 1 View Timetable
Year running 2018/19
Pre-requisite qualificationsFulfilment of the entry requirements to any of the above programmes is sufficient
Module replacesLUBS5042M Financial Econometrics (MSc Financial Mathematics)
This module is not approved as an Elective
ObjectivesThe aim of the module is to provide a grounding in the aspects of statistics, in particular statistical modelling, that are of relevance to actuarial and financial work. The module introduces and develops the fundamental concepts of probability and statistics used in applied financial analysis.
The course also provides training in practical skills required for empirical analyses.
Students will have opportunities to develop a good understanding of the fundamentals of probability and statistics.
They should be able to use these techniques in empirical analyses of financial data and present, interpret, discuss the results in a written report. Students are also expected to become proficient in the use of statistical software.
On completion of the module students are expected to be able to:
- communicate both verbally and in writing the theoretical and applied concepts of probability and statistics within a finance context
- carry out statistical tests and interpret the findings.
PART I: Fundamentals of Probability
- Summarising data
- Introduction to probability
- Random variables
- Probability distributions
- Generating functions
- Joint distributions
- The central limit theorem
- Conditional expectation.
PART II: Fundamentals of Statistics
- Sampling and statistical inference
- Point estimation
- Confidence intervals
- Hypothesis testing.
PART III: Applied Statistics
- Correlation and regression (OLS)
- Analysis of variance (ANOVA)
- Univariate time series analysis and forecasting (ARMA)
- Multivariate time series analysis (VAR)
- Volatility models (ARCH/GARCH).
|Delivery type||Number||Length hours||Student hours|
|Private study hours||107.00|
|Total Contact hours||43.00|
|Total hours (100hr per 10 credits)||150.00|
Private study- Pre-lecture reading 1 h each (32 h)
- Post-lecture reading 1 h each (32 h)
- Seminar reading and preparation (30 h)
- Completion of assessed coursework (20h).
Opportunities for Formative Feedback- Student contributions made to seminar discussion.
- At least one piece of assessed coursework.
Methods of assessment
|Assessment type||Notes||% of formal assessment|
|Project||max 2,000 words||30.00|
|Total percentage (Assessment Coursework)||30.00|
The resit for this module will be 100% by 2hours examination
|Exam type||Exam duration||% of formal assessment|
|Standard exam (closed essays, MCQs etc)||2 hr||70.00|
|Total percentage (Assessment Exams)||70.00|
The resit for this module will be 100% by 2 hours examination
Reading listThe reading list is available from the Library website
Last updated: 12/12/2018 10:48:54
Browse Other Catalogues
- Undergraduate module catalogue
- Taught Postgraduate module catalogue
- Undergraduate programme catalogue
- Taught Postgraduate programme catalogue
Errors, omissions, failed links etc should be notified to the Catalogue Team.PROD