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Course syllabus - Mathematical Statistics and Financial Software

Scope

7.5 credits

Course code

MAA709

Valid from

Autumn semester 2026

Education level

Second cycle

Progressive Specialisation

A1N (Second cycle, has only first-cycle course/s as entry requirements)

Main area(s)

Mathematics/Applied Mathematics

Organisation

Department of Business and Mathematics

Ratified

2014-06-16

Revised

2025-11-03

Literature lists

Course literature is preliminary up to 8 weeks before course start. Course literature can be valid over several semesters.

Objectives

A broad array of common problems in business and finance can be solved through the use of specialized software designed to model the unpredictable behavior of financial variables. The aim of this course is to give a survey of existing statistical, financial and risk management software, and study some software systems in more details.

Learning outcomes

At the end of the course the student is expected to be able to

  • price various financial instruments using different platforms
  • use the Hull–White model, the LIBOR market model, and the option adjust spread model for pricing credit derivatives and repo instruments
  • calculate different risk characteristics for the cases of desk, consolidated, and limit risk management
  • understand data models and create the simplest SQL queries
  • understand and explain mathematical foundations of all the above calculations

Course content

  • A review of existing statistical, financial and risk management software, such as SPSS, Excel or R
  • Cash flow instruments and instruments with underlyings
  • Interest rate models: the Hull-White model, the LIBOR market model, and the option adjust spread model
  • Pricing credit derivatives and repo instruments
  • Desk risk management, consolidated risk management, and limit management
  • Data models and Structured Query Language

Specific requirements

Methods of Statistical Inference, 7.5 credits or equivalent. In addition, Swedish course 3 or Swedish level 3 and English course 6 or English level 2 are required. For courses given entirely in English exemption is made from the requirement in Swedish course 3 or Swedish level 3.

Examination

Projects (PRO1), 4.5 credits, marks Pass (G) or Pass with distinction (VG)
Seminars (SEM1), 3 credits, marks Pass (G) or Pass with distinction (VG)

A student who has a certificate from MDU regarding disability study support, can request adaptions for the examination. It is the examiner who takes decisions on any adaptions, based on the certificate and other conditions.

Grade

Three-grade scale