Empirical Financial Modelling and Applied Econometrics

2018/2019

Content, progress and pedagogy of the module

Learning objectives

Knowledge

  • have understanding of relevant theories and methods within one or more of these areas: option pricing and estimation of time-varying volatility models, zero coupon term structure models, dynamic term structure models, models for stock portfolios and intertemporal asset pricing models, event studies in corporate finance, or computational finance and Monte Carlo methods applied to pricing
  • are able to understand and to reflect on these subject areas’ issues on a scientific basis

Skills

  • must be able to identify, formulate and analyse a scientific problem independently, systematically and critically
  • must be able to relate the problem to financial econometrics or quantitative finance, including explanations of the choices that have been made
  • must be able to independently perform and justify the choice of theories and methods
  • must be able to communicate research-based knowledge and discuss the professional and scientific problems with other people both within mathematics and economics

Competences

  • must be able to identify, formulate and analyse a scientific problem independently, systematically and critically
  • must be able to relate the problem to financial econometrics or quantitative finance, including explanations of  the choices that have been made
  • must be able to independently perform and justify the choice of theories and methods
  • must be able to communicate research-based knowledge and discuss the professional and scientific problems with other people both within mathematics and economics

Type of instruction

Project work.



Extent and expected workload

This is a 15 ECTS project module and the work load is expected to be 450 hours for the student.

Exam

Exams

Name of examEmpirisk finansiering og anvendt økonometri
Type of exam
Oral exam based on a project
ECTS15
Assessment7-point grading scale
Type of gradingInternal examination
Criteria of assessmentAs stated in the Joint Programme Regulations.
http:/​/​www.engineering.aau.dk/​uddannelse/​Studieadministration/​

Facts about the module

Danish titleEmpirisk finansiering og anvendt økonometri
Module codeF-MOK-K1-1
Module typeProject
Duration1 semester
SemesterAutumn
ECTS15
Empty-place SchemeYes
Location of the lectureCampus Aalborg
Responsible for the module

Organisation

Study BoardStudy Board of Mathematics, Physics and Nanotechnology
FacultyFaculty of Engineering and Science
SchoolSchool of Engineering and Science