Mathematical Statistics: Financial Statistics

Education facts

Code: 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>

Entry requirements

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

Education offerings

Each offering has its own dates and conditions. Closed offerings are retained as history and do not mean that a new application is open.

• Mathematical Statistics: Financial Statistics

  Lund University

  Start date: 2 November 2026

  End date: 17 January 2027

  Pace of study: 50 %