4408081: Advanced Mathematics and Statistics

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

Module coordination/Lecturers


Master's degree programme in Finance (01.09.2015)


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


  • 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


Admission Requirements

  • 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


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

Exam Modalities

written exam (60min)


21.09.201713:15 - 16:30H4
22.09.201709:00 - 12:15H4
28.09.201713:15 - 16:30H4
29.09.201709:00 - 12:15H2


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