Quantitative Methods Applied to Finance

No basic knowledge required.

The classes are theoretical and practical, according to the curricular plan.

Theoretical component: explanation of the subjects and resolution of illustrative examples.

Practical component: resolution of practical exercises that illustrate and complement the subjects presented in the lectures, under the guidance of the teacher, but encouraging autonomous resolution.

Goals:

This subject aims to describe the mathematical and statistical concepts and methods that are relevant to the other curricular units of the master’s programme.

Skills:

Use the fundamental mathematical and statistical methods for the evaluation and management of financial instruments of the spot market and of the derivative market and for the analysis of the companies’ risk.

Use relevant software for different fields of application, namely, management and finance.

1. Introduction 

1.1. Descriptive Statistics

1.2. Probability Theory

1.3. Theoretical Distributions

1.4. Parametric Hypothesis Tests

1.5. ANOVA

2. Returns on Assets and Portfolios (, , )

2.1.  Definitions

2.2. Properties

2.3. Normality Tests

3. Statistical Models Applied to Finance (Linear regression model, , , , , )

3.1. Linear Regression Model

3.2. Models with Discrete Dependent Variable

3.3. Time Series Models

3.4. Introduction to Stochastic Differential Equations

3.5. Factor Analysis

3.6. Discriminant Analysis

NAO

Main:

Gujarati, D.N. & Porter, D.C. (2011). Econometria Básica, 5ª Edição, AMGH Editora.

Newbold, P., Carlson, W. & Thorne, B. (2022). Statistics for Business and Economics, Global Edition, Pearson Education Limited.

Tsay, R.S. (2013). Analysis of Financial Times Series, Wiley.

Wooldridge, J. (2019). Introductory Econometrics : A Modern Approach, 7^th Edition; Cengage Learning.

Supplementary:

Braumann, C.A. (2019). Introduction to Stochastic Differential Equations with Applications to Modelling in Biology and Finance, Wiley.

Dougherty, C. (2011). Introduction to Econometrics, 4^th Edition. Oxford University Press.

Jackson, Mary & Staunton, Mike. (2001). Advanced modelling in finance using Excel and VBA, Wiley.

Taylor, J. S. (2005). Asset Price, Dynamics, Volatility and Prediction, Princeton