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Regular version of the site
2022/2023

Type: Optional course (faculty)
When: 1-3 module
Open to: students of one campus
Language: English
ECTS credits: 3
Contact hours: 32

Course Syllabus

Abstract

Advanced statistics is a two-semester course and it is taught for the second year students in Autumn and Winter semesters. The course focuses on further in-depth look in probability theory and statistics, it naturally extends corresponding compulsory courses for first and second year students. The course is taught in English. The students are also studying for Russian degree in Economics, and knowing Russian terminology through reading in Russian is also required. Course prerequisites: Students are supposed to be familiar with basic probability theory and statistics at the level of Introduction to Probability Theory and Statistics as well as Calculus courses which are taught in the first year of studies. Ability to write basic programs in any programming language (C++, Python, R) is a plus but not strongly necessary. The course itself can be considered as complementary to Statistics course for second year students.

Learning Objectives

• The purpose of the course is to increase knowledge in the area of probability theory and statistics, give examples of practical application of studied subjects and develop basis for independent studies, research and analysis. Specifically, the course aims at:
•  comprehensive overview of the Introductory Statistics course;
•  broadening the students’ knowledge in the fields of probability theory and statistics.
•  familiarise students with advanced subjects such as financial mathematics, stochastic processes and stochastic calculus.
•  give examples of statistics applications in real life problems which are facing researchers, financial engineers in banks and hedge funds.
•  give enough knowledge and reading to allow students to further study selected topics.

Expected Learning Outcomes

•  use and apply statistical methods for data analysis, research and modelling. This includes ability to select appropriate method/model, check its correctness and applicability, back test methods on historical data and make conclusions.
•  be prepared for further units which require a knowledge of statistics and basics of stochastic processes;
•  be capable to make independent research and analysis in broader topics of statistics

Course Contents

• Basics of financial mathematics in discrete setting.
• Basics of stochastic calculus.
• Pricing of financial instruments in continuous time.
• Probability and statistics methods in gambling
• Computer class practicum
• Linear algebra and Multivariate normal distribution

Assessment Elements

• exam
• home assignments part 1
• home assignments part 2
• home assignments part 3

Interim Assessment

• 2022/2023 3rd module
0.13 * home assignments part 2 + 0.13 * home assignments part 3 + 0.6 * exam + 0.14 * home assignments part 1

Recommended Core Bibliography

• Shir︠i︡aev, A. N. (1999). Essentials Of Stochastic Finance: Facts, Models, Theory. Singapore: World Scientific. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=91430