FIN41650 Quant Methods for Finance

Academic Year 2019/2020

This module covers the fundamental mathematical and statistical background necessary for the understanding of financial markets. The module will incorporate topics in quantitative methods including set theory, calculus, linear algebra, and probability and statistics. Further, the module will focus on the application of these topics to problems in finance, asset pricing and risk management.

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Curricular information is subject to change

Learning Outcomes:

Demonstrate knowledge and understanding of the key practical and theoretical components of quantitative financial methods.
Apply quantitative techniques to practical real world problems in finance.
Implement a range of applied quantitative techniques using spreadsheets.
Develop research skills including data analysis.

Indicative Module Content:

Topic 1. Few Aspects of Logic, Set Theory
Implications
Necessary and Sufficient Conditions
Theorems and Proofs
Elements of Set Theory

Topic 2. Introduction to Finance and Time value of money
Prices and Returns
Calculating Returns
The Time Value of Money
Annuities
Discounting and Present Values

Topic 3. Linear Algebra
Matrix Algebra
Eigenvectors and Eigenvalues
Matrix Decomposition
Principal Component Analysis
Applications
Topic 4. Calculus
Functions
Differentiation
Functions of Several Variables
Optimization
Taylor Expansion
Integration

Topic 5. Probability and Statistics
Probability
Basic Statistics
Univariate Distributions
Multivariate Distributions
Statistical Inference
Value-at-Risk

Student Effort Type Hours
Lectures

48

Autonomous Student Learning

18

Total

66

Requirements, Exclusions and Recommendations

Not applicable to this module.


Module Requisites and Incompatibles
Not applicable to this module.
 
Assessment Strategy  
Description Timing Open Book Exam Component Scale Must Pass Component % of Final Grade
Examination: Final Exam 2 hour End of Trimester Exam No Pass/Fail Grade Scale No

95

Continuous Assessment: Pre-Module assignment Unspecified n/a Pass/Fail Grade Scale No

5


Carry forward of passed components
Yes
 
Resit In Terminal Exam
Spring Yes - 2 Hour
Feedback Strategy/Strategies

• Group/class feedback, post-assessment

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