AF5008 - Financial Mathematics and Statistics

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What will I learn on this module?

The module aims to provide you with the knowledge and skills of applying a variety of advanced mathematical and statistical methods to help you with financial data analysis and interpretation. You will examine the mathematical and statistical methods that feed into complex financial models, tools and techniques. All mathematical and statistical techniques which you will study as part of this module will be considered in the context of finance. Within this module, you will cover such topics as; limits (continuous compounding, mathematical constant e, annuity and perpetuity), geometric & physical interpretation, least squares problem, serial correlation, market randomness & mean reversion, conditional probability and stochastic volatility (the Poisson process).

The module will lead you to the development of advanced analytical skills and confidence in handling numerical data using both mathematical derivations and statistical reasoning. In doing so, it will expose you to a wide range of mathematical techniques for use in analysis and interpretation of financial data. On completing the module you will be able to select and apply the appropriate mathematical and statistical techniques to support decision making in a variety of situations. You will have developed relevant numerical skills to support the theoretical material introduced throughout the module. You will create, use and design appropriate spreadsheet models which directly relate to the concepts studied. For this real-time data from the NBS trading room can be used.

How will I learn on this module?

The two-hour weekly lectures will provide you with mathematical definitions and in some cases derivations of most relevant to the study of finance quantitative tools. This will be supported by one-hour weekly seminars which will give you an opportunity to practice the various mathematical and statistical techniques, allowing you to build up a proficiency in the use of such techniques and the necessary skills of interpretation and communication of the results of your analysis.

There will be a number of additional exercises housed on the module’s e-learning portal that will permit you to undertake further practice independently. The module has a supporting reading list that provides you with an opportunity to see how the various mathematical and statistical tools are used in financial decision making.

Your directed study will support the work you have undertaken in the contact sessions. You will be expected to keep up-to-date with your seminar exercises. In addition, you will be a selection of exercises to complete in your own time. The problem solving nature of the module means that tutor (formative) feedback will be received continuously.
Independent learning time is set aside for learning activities, self-identified by you, to gain a deeper and broader knowledge of the subject. You may complete the review exercises, work with the electronic support tools (such comprehensive and detailed answers to seminar questions, recordings of lectures, video tutorials and other online resources), and undertake further reading.

How will I be supported academically on this module?

Support will be provided to you by a member of academic staff leading the module and providing the lecture input. A team of academic staff are allocated to seminar groups of about 20 students. This provides a closer, more individually adjusted academic support.
Your module is supported by an e-learning portal, which houses lecture materials, seminar exercises and answer files, alongside assessment details and various support facilities such as recordings of certain lectures or mathematical workings and access to various online sources relevant to the course. You will be provided with a wide-ranging electronic reading list that comprises of various academic reports, conference papers and journal articles that showcase the application of various mathematical and statistical techniques presented in the module.
The module will be assessed by an open book examination where you will be able to draw from you own portfolio which will incorporate elements of independent research and subsequent analysis comprising of the taught mathematical and statistical methods.

What will I be expected to read on this module?

All modules at Northumbria include a range of reading materials that students are expected to engage with. The reading list for this module can be found at: http://readinglists.northumbria.ac.uk
(Reading List service online guide for academic staff this containing contact details for the Reading List team – http://library.northumbria.ac.uk/readinglists)

What will I be expected to achieve?

Knowledge & Understanding:
• Understand and apply a variety of mathematical and statistical techniques and their application to the analysis and interpretation of financial problems (MLO1).

• Understand and apply the role of mathematical techniques as an aid to decision making; through the selection of specific tools and techniques to assist in the solution of financial problems (MLO2).

Intellectual / Professional skills & abilities:

• Evidence skills in the handling of financial data and the corresponding findings of its analysis and modelling for progression to more advanced contexts (MLO3).

How will I be assessed?

Your understanding of the module outcomes will be assessed by an open book 2 hour examination. Throughout the module you will develop a portfolio with multiple computational tasks underpinned by prior secondary data research which you will be able to draw from in the examination.

Additionally, you will be continuously assessed in formative terms during seminars as you build your portfolio, which will always incorporate pre-work based on preceding week’s lecture material. Your seminar tutor will give you feedback on that preparation.

The examination addresses MLO1, MLO2 and MLO3.

Pre-requisite(s)

None

Co-requisite(s)

None

Module abstract

The disciplines of mathematics and statistics offer a wide range of powerful tools which are indispensable to the study of finance. While studying on this module you will be introduced to parts of mathematics and statistics which are most prominently featured in key financial models and formulas. You will learn the intuition behind mathematical derivations of some of these formulas revealing their origin and meaning. Through this you will advance your awareness and understanding of mathematical underpinnings behind financial theories studied on the programme.

Course info

UCAS Code N390

Credits 20

Level of Study Undergraduate

Mode of Study 3 years full-time or 4 years with a placement (sandwich)/study abroad

Department Newcastle Business School

Location City Campus, Northumbria University

City Newcastle

Start September 2020

Fee Information

Module Information

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