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MX5520: TIME SERIES (2016-2017)

Last modified: 16 Nov 2016 18:20


Course Overview

​There is an interest in raising the level of understanding of mathematics in the financial sector. This course is a part of the new MSc programme in Financial Mathematics and provides students with the theoretical and practical skills related to discrete time models of financial markets.

Course Details

Study Type Postgraduate Level 5
Session Second Sub Session Credit Points 15 credits (7.5 ECTS credits)
Campus Old Aberdeen Sustained Study No
Co-ordinators
  • Dr Daniel Vogel

What courses & programmes must have been taken before this course?

  • Any Postgraduate Programme (Studied)

What other courses must be taken with this course?

None.

What courses cannot be taken with this course?

None.

Are there a limited number of places available?

No

Course Description

​The course will introduce the mathematical notions of time series analysis. The following topics will be included: random walk, white noise, auto-covariance and autocorrelation functions, linear prediction, stationary and nonstationary time series, filtering, nonlinear models.

Degree Programmes for which this Course is Prescribed

  • Master Of Science In Financial Mathematics

Contact Teaching Time

Sorry, we don't have that information available.

Teaching Breakdown


Assessment

One 2h written exam (70%); One individual assignment (30%)


Resit -

​One 2h written exam (100%).

Formative Assessment

None.

Feedback

None.

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