Module Details

BE356-7-SP-CO: Financial Modelling

Year: 2016/17
Department: Essex Business School
Essex credit: 20
ECTS credit: 10
Available to Study Abroad / Exchange Students: No
Full Year Module Available to Study Abroad / Exchange Students for a Single Term: No
Outside Option: No

Staff
Supervisor: Prof Simon Price
Teaching Staff: Prof Simon Price
Contact details: Email: s.g.price@essex.ac.uk

Module is taught during the following terms
Autumn Spring Summer

Module Description

The purpose of this course is to consider the use of modern econometric techniques in the analysis of financial time series. The course will extend students' understanding of econometrics and the models used for financial time series. The course will cover multivariate models for stationary and non-stationary processes, such as Vector Autoregressive models. The course will also consider appropriate models for volatility and introduce students to Markov processes and simulation methods used for financial modelling.



Learning and Teaching Methods

10 x 2hr lectures and 5 x 2hr labs in spring term
Revision lecture in summer term

Assessment

50 per cent Coursework Mark, 50 per cent Exam Mark

Coursework

One take-home assignment

Exam Duration and Period

2:00 during Summer Examination period.

Other information

This module is compulsory for:

MSc in Financial Engineering and Risk Management

Postgraduate Administrator - Jade D'Mello
Email: ebspgtad@essex.ac.uk

Further information