Course Syllabus for

Financial Statistics
Finansiell statistik

FMSN60F, 7.5 credits

Valid from: Autumn 2020
Decided by: Professor Thomas Johansson
Date of establishment: 2020-05-19

General Information

Division: Mathematical Statistics
Course type: Course given jointly for second and third cycle
The course is also given at second-cycle level with course code: FMSN60
Teaching language: English


The course should be regarded as the statistical part of a course package also including TEK180 Financial Valuation and Risk Management and FMS170 Valuation of Derivative Assets. Its purpose is to give the student tools for constructing models for risk valuation and pricing, based on data.


Knowledge and Understanding

For a passing grade the doctoral student must

Competences and Skills

For a passing grade the doctoral student must

Course Contents

The course deals with model building and estimation in non-linear dynamic stochastic models for financial systems. The models can have continuous or discrete time and the model building concerns determining the model structure as well as estimating possible parameters. Common model classes are, e.g., GARCH models with discrete time or models based on stochastic differential equations in continuous time. The course participants will also meet statistical methods, such as Maximum-likelihood and (generalised) moment methods for parameter estimation, kernel estimation techniques, non-linear filters for filtering and prediction, and particle filter methods. The course also discusses prediction, optimization, and risk evaluation for systems based on such descriptions.

Course Literature

Henrik Madsen, E. & Nielsen, J.: Statistics for Finance. Chapman and Hall/CRC, 2015.

Instruction Details

Types of instruction: Lectures, laboratory exercises, exercises, project

Examination Details

Examination formats: Written report, seminars given by participants
Grading scale: Failed, pass

Admission Details

Admission requirements: FMSF10 Stationary Stochastic Processes
Assumed prior knowledge: EXTF45 Financial Management and preferrably also one or several of FMSN45 Time series analysis, TEK180/EXTQ35 Financial Valuation and Risk Management, and FMSN25 Valuation of Derivative Assets.

Course Occasion Information

Contact and Other Information

Course coordinators:
Web page:

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