Quantitative methods for financial economics

The course comprises two main units focusing on the mathematical and statistical methods respectively that are especially useful in financial economics. The mathematics unit includes solutions to geometric series and how these relate to calculating values of financial instruments. An introduction to matrix algebra used in financial economics and statistics to solve simultaneous equation systems follows, and integration of functions and solutions to recurrence relation and differential equations conclude the first unit. The statistics unit elaborates on the first unit with an emphasis on statistical methods for measuring risk and estimation of so called stochastic processes, which both are central concepts in various areas of financial economics. Special methods such as estimation of survival functions, Markov processes, principal component analysis and Monte Carlo simulation are also introduced. The emphasis is on applying both mathematical and statistical methods to applied problems in financial economics. Students learn to use different software for both types of applications. Instruction is in the form of both lectures and laboratory sessions.