Mathematical Statistics: Financial Statistics

Financial Statistics is an advanced-level course that teaches you how to use statistical methods to analyze and model financial data. You will learn how to build models that help assess risk and price financial contracts—skills that are valuable in both research and the finance industry.

The course covers models for volatility and variance, such as GARCH and stochastic volatility, and methods for filtering hidden processes in data, like Kalman and particle filters. You will also be introduced to stochastic calculus, which is used to describe and analyze financial systems.

This course is mandatory in some specializations within the Bachelor’s programme in Science at Lund University. It can also be taken as an elective within the programme or as a standalone course. The course is taught in English and is offered at the advanced level.

Teaching includes lectures, computer labs, and a larger project. You will work hands-on with building and testing models for financial data, and also practice using statistical methods for prediction and risk assessment.

Assessment is based on a written technical report and an oral presentation of your project. Attendance at the computer labs is mandatory, where you will apply the course content in practical exercises. The course is divided into three modules, project work (4.5 credits) and two lab components (1.5 credits each).

Prerequisites

For admission to the course knowledge equivalent to the course MASC04, Stationary Stochastic processes, 7.5 credits is required together with English B.

Selection criteria

Seats are allocated according to: ECTS (HPAV): 100 %.

Tuition fees for non-EU/EEA citizens

Citizens of countries outside:

• The European Union (EU)
• The European Economic Area (EEA) and
• Switzerland

are required to pay tuition fees. You pay an instalment of the tuition fee in advance of each
semester.

Tuition fees, payments and exemptions

Full programme/course tuition fee: SEK 23,125
First payment: SEK 23,125

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Note that you may also need to pay an application fee, or provide proof of exemption.

Application fee

No tuition fees for citizens of the EU, EEA and Switzerland

There are no tuition fees for citizens of the European Union (EU), the European Economic Area (EEA) and Switzerland.