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
- 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.