Courses & Units

Applied Quantitative Finance BEA653

Hobart

Note:

May be taken as an elective in other postgraduate courses only with permission of the Master of Finance course coordinator.

Introduction

There are two main objectives in applied quantitative finance. First, is to understand how asset prices behave. Future asset prices are uncertain and, therefore, must be described by a probability distribution. This means that statistical and econometric methods can be applied to investigate price processes occurring over time. Usually one builds a model, which is a detailed description of how successive observations are determined.

The second objective is to use our knowledge of asset pricing behaviour to reduce risk or make better decisions.

The focus in this unit will be on practical applications rather than formal proofs of theorems, using computer based software (EViews) to investigate the different econometric techniques for estimation and inference.

Summary

Unit name Applied Quantitative Finance
Unit code BEA653
Credit points 12.5
Faculty/School College of Business & Economics
Tasmanian School of Business and Economics
Discipline Economics and Finance
Coordinator

Dr Vladimir Volkov

Level Postgraduate
Available as student elective? No
Breadth Unit? No

Availability

Location Study period Attendance options Available to
Hobart Semester 2 On-Campus International Domestic

Key

On-campus
Off-Campus
International students
Domestic students
Note

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Key Dates

Study Period Start date Census date WW date End date
Semester 2 12/7/2021 10/8/2021 30/8/2021 17/10/2021

* The Final WW Date is the final date from which you can withdraw from the unit without academic penalty, however you will still incur a financial liability (see withdrawal dates explained for more information).

About Census Dates

Learning Outcomes

LO1Define and explain the properties that characterise financial data and the techniques for analysing cross-sectional data.
LO2Analyse and model the short-run relationships in financial time series data.
LO3Analyse and model the long-run relationships among financial time series data
LO4Apply econometric modelling and interpret the results using financial data.

Fees

Domestic

Band CSP Student Contribution Full Fee Paying (domestic) Field of Education
2 2020: $1,190.00 2020: $2,702.00 010103

Fees for next year will be published in October. The fees above only apply for the year shown.

Please note: international students should refer to this page to get an indicative course cost.

Requisites

Prerequisites

  • Quantitative  skills:  Financial  mathematics  and  a  familiarity  with  basic  statistical techniques including standard deviation, coefficient of variation, covariance and linear regression.
  • Computing  skills:  Computing  skills  and  the  ability  to  use  the  special  functions  in  the commercial software to be used. You must become familiar with Eviews used in the unit as quickly as possible. The first two (2) weeks of the unit will be used to familiarise with the features of the Eviews and the financial datasets to be used.
  • BEA681 and BEA654 or BEA674.

Co-requisites

N/A

Mutual Exclusions

You cannot enrol in this unit as well as the following:

N/A

Teaching

Teaching Pattern

Please check the unit outline for details.

Assessment

Online Mid Semester Test (20%), Workshop Submissions (30%),  Final Exam (50%).

TimetableView the lecture timetable | View the full unit timetable

Textbooks

Required

Please check the unit outline for details.

Booktopia textbook links

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