Mathematical Statistics: Financial Statistics

Utbildningsfakta

Kod: MASM18

<p>How do we model financial data in discrete and continuous time.</p><p>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.</p>

Behörighet

For admission to the course knowledge equivalent to the course MASC04, Stationary Stochastic processes, 7.5 credits is required together with English B.

Utbildningstillfällen

Varje tillfälle har egna datum och villkor. Avslutade tillfällen behålls som historik och innebär inte att en ny ansökan är öppen.

• Mathematical Statistics: Financial Statistics

  Lund University

  Startdatum: 2 november 2026

  Slutdatum: 17 januari 2027

  Studietakt: 50 %