5008077: C15 Quantitative Finance

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Semester:WS 20/21
Scheduled in semester:1
Semester Hours per Week / Contact Hours:58.0 L / 43.5 h
Self-directed study time:136.5 h

Module coordination/Lecturers


Master's degree programme in Finance (01.09.2015)


Quantitative Finance will cover:

  • Classical linear regression model assumptions and diagnostic tests
  • Expansions of the simple linear regression model to multiple linear regressions
  • Long-run relationships in finance
  • Models of time series volatility and covariances
  • Simulational methods in finance
  • Introduction to ThomsonReuters Eikon


Admission Requirements

Econometrics and Advanced Mathematics and Statistics:

  • Students should have a working understanding of simple linear regressions, of single time series models of the ARIMA-type, 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

Exam Modalities

See lectures within this module.
Class participation in "Data Sourcing and Analysis" is obligatory.