Modules WS 2017/2018

# 4408081: Advanced Mathematics and Statistics

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Semester:WS 17/18
Type:Lecture
Scheduled in semester:1
Semester Hours per Week / Contact Hours:16.0 L / 12.0 h
Self-directed study time:48.0 h

## Curricula

Master's degree programme in Finance (01.09.2015)

## Description

This course will cover:

• Expansions of the simple linear regression model to multiple linear regressions
• Classical linear regression model assumptions and diagnostic tests
• Panel data
• Optimization in finance
• Simulational methods in finance

## Learning Outcomes

Students...

• understand the generalisation from single to multiple regressions.
• can estimate and conduct statistical inference in multiple regression models
• understand the concept of test size and goodness of fit statistics
• comprehend quantile regressions
• understand the different statistical distributions of statistical tests
• comprehend the assumptions of linear regression models, can test for them and correct their models
• understand the structure of panel data and the relevant techniques to estimate panel data models
• can estimate fixed-effect and random-effect models
• are able to conduct statistical inference in panel data models
• understand the different optimization procedures used in finance
• can apply different optimization procedures to problems in finance
• understand the different forms and uses of simulation in finance
• apply simulational methods to practical problems in finance

## Qualifications

• Students should have a working understanding of simple linear regressions, both in a theoretical manner as well as regarding its practical implementations (estimation and statistical inference) in R or EViews (or any other appropriate statistical programme)
• Students should have an understanding of single and multi variable calculus, matrices, probability and probability distributions, and descriptive statistics

## Literature

Brooks, C. (2014). Introductory econometrics for finance (3rd ed.). Cambridge: Cambridge University Press.

## Exam Modalities

written exam (60min)

## Dates

 Datum Zeit Raum 21.09.2017 13:15 - 16:30 H4 22.09.2017 09:00 - 12:15 H4 28.09.2017 13:15 - 16:30 H4 29.09.2017 09:00 - 12:15 H2

## Exams

• PWW-MA_Advanced Mathematics and Statistics (WS 17/18, bewertet)
• PWW-MA_Advanced Mathematics and Statistics (SS 18, bewertet)