Mathematical Finance & Financial Time Series Analysis

3 weeks
Course Type
Summer School

At the University’s well established and highly regarded School of Mathematics we deliver this exciting summer study program specialised in Mathematical Finance and Financial Time series analysis. The Programme is ideal for students based overseas who would like to experience studying abroad and also gain a valuable insight into the fascinating yet challenging field of quantitative finance.

The Programme covers the fundamental knowledge in financial engineering, which is a highly specialised and rapidly growing area. You will be able to explore the computational skills as well as the underlying mathematical and statistical theory to prepare for a career on the computational end of quantitative finance. The program is both technical and pragmatic. In Mathematical Finance, you will first learn to examine the financial derivatives using a continuous-time approach, then analyse a range of discrete time financial models and investment models. In the 3rd week of the program, you will start the econometric modelling of financial time series.  You will learn various methods of fitting linear and non-linear models to time series data, statistical validation and their use such as forecasting and simulation using the statistical package SAS®.

Topics may include:

  • Financial derivatives
  • MatLAB
  • Binomial method
  • Time series data analysis
  • Linear filtering
  • Autocovariances and autocorrelations
  • Moving averages and autoregressive processes

Please note that the programme plan is subject to confirmation for BISS 2020.

To be accepted onto the Mathematical Finance programme you must:

  • Have relevant subject background: the Programme operates at ‘beginners’ level’ but students are required to have prerequisites of  calculus, probability and statistics, or have the equivalent level of knowledge. Students must be able to demonstrate relevant subject background with a translated transcript.
  • Be aged 18 years or over at the start date of the BISS programme.
  • Be studying an undergraduate programme at a University outside the UK or be registered as an International student at a UK university.
  • Be of good academic standing (based on a translated transcript, verified by your University).

English Language Requirements

  • Have achieved English Language proficiency of IELTS 6.0 overall with no lower than 5.5 in any band.
  • Have achieved English Language proficiency of TOEFL IBT 80 overall with no less than 19 in listening, 19 in reading, 21 in speaking and 19 in writing
  • Have achieved English Language proficiency of PEARSON with a minimum of 53 in listening, reading, writing and speaking.

This is a three week programme and is equivalent to an accredited undergraduate course (20 UK credits) and is delivered by University faculty who are experts in their field. In addition there will be ‘hands-on’ computer lab demonstrations and work on mini-projects, and lectures. In addition you will be required to undertake independent study to allow for assessment. The Programme is formally assessed. Please check with your home institution regarding the transfer of credits.

On completion of the programme in addition to obtaining 20 credits you will have been given a unique opportunity to

  1. acquire knowledge and problem-solving abilities in new or unfamiliar environments within broader contexts;
  2. communicate conclusions and the knowledge and rationale underpinning these, to specialist and non-specialist audiences, clearly and unambiguously;
  3. demonstrate the ability to work professionally with a considerable degree of independence.

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