FN3142 Quantitative finance
Students may bring into the examination hall their own hand held electronic calculator. If calculators are used they must satisfy the requirements listed in Section 4, Assessment for the programme, of the Detailed Regulations.
Prerequisites (applies to degree students only)
EC2066 Microeconomics and EC2020 Elements of econometrics.
This course must be taken at the same time as, or after FN3092 Corporate finance.
Building on concepts introduced in course FN3092 Corporate finance and course EC2020 Elements of econometrics, this course introduces econometric tools related to time-series analysis and applies them to study issues in asset pricing, investment theory, risk analysis and management, market microstructure, and return forecasting.
Topics addressed by this course are:
- Concepts and measures of risk;
- Time-series analysis;
- Empirical tests of the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT);
- Market risk models;
- Models of financial market correlations and dependence;
- Data mining and technical trading;
- Risk management;
- Asset allocation decisions;
- Market microstructure.
This course is quantitative by nature. It aims however to investigate practical issues in the forecasting of key financial market variables and makes use of a number of real-world data sets and examples.