UNIVERSITY OF MAURITIUS

Module Specification Sheet

1. GENERAL INFORMATION

Course: BSc (Hons) Mathematics with Statistics / Mathematics with Finance (Yr 3)
Academic year: 2019/2020
Semester : II

TITLE Code No. of Hours per No. of Credits

Semester/Year

Statistical Methods MA3005 Lectures 3

for Finance 30 hrs

Practicals

Seminars

Tutorials
14 hrs
Others: Test = 50 mins
(Specify)
Presentation(s):
Total: 45 hrs

2. PREREQUISITE(S)/PRE-REQUIREMENT(S)

PQ (must follow module & sit for exams): MA2203(3) Linear Regression Analysis

3. Overview of Module

The following topics/subtopics are considered: Statistical properties of returns,

Regression analysis applications to pricing models, Multivariate analysis with
applications in Markowitz's portfolio management, Volatilities, Nonparametric
methods with applications to option pricing and interest rate markets, Portfolio
optimization and the Capital Asset Pricing Model.

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4. LEARNING OUTCOMES
The module aims to equip students with a repertoire of statistical analysis and
modelling methods that are commonly used in the finance industry. Major topics
include statistical properties of returns, regression analysis with applications pricing
models, multivariate analysis with applications in Markowitz's portfolio management,
modelling and estimation of volatilities, nonparametric methods with applications to
option pricing and interest rate markets. Students will be acquainted with the
foundations of finance such as portfolio optimizing and the Capital Asset Pricing
Model. This module is targeted at students who are interested in Statistics.

5. Rationale

The intent of this module is to present a solid undergraduate foundation in statistical

analysis and at the same time to provide an indication of the relevance and importance of
the theory in solving practical problems in the real world and in particular in the field of
statistics applied in finance.

6. COORDINATORS:

(i) Programme Coordinator: Prof M. Bhuruth /Assoc. Prof. P. Gonpot

Department: Mathematics

Building: New Academic Complex

Room No.:

E-mail Address:

Phone No.: 403 7479/7483

Office Hours: 09 00 -16 00

(ii) Module Coordinator: Dr R. Boojhawon

Department: Mathematics
Building: New Academic Complex
Room No.: R 4.3
E-mail Address: r.boojhawon@uom.ac.mu
Phone No.: 403 7483
Office Hours: 09 00 - 16 00

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7. LECTURER(S) Dr R. Boojhawon

Department: Mathematics
Building: New Academic Complex
Room No.: R 4.3
E-mail Address: r.boojhawon@uom.ac.mu
Phone No.: 403 7483
Office Hours: 09 00 - 16 00

All lectures will normally be held in Room:

8. MODULE MAP

WEEK THEME(S) LECTURE TITLE(S) LEC. L, P,

Initials T, V, S
1-2 Regression analysis (Simple, Multiple) Regression Analysis R.B L/T

3-4 Statistical properties of returns Returns R.B L/T

Regression with applications to pricing
models
6-8 Multivariate analysis with applications Investment Models and R.B L/T
Markowitz's portfolio management their Statistical Analysis
Portfolio optimization
Capital Asset Pricing Model
9-10 Modelling and estimation of Volatilities R.B L/T
volatilities
11 Test

11-14 Nonparametric methods with Nonparametric Methods R.B L/T

applications in Finance.
15 Revision R.B T

Abbreviations: L: Lectures, P: Practicals, T: Tutorials, V: Visits, S: Seminars

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9. REFERENCES

1. Recommended Books/Journals

Author(s) Year Title Edition/Publisher

Tze Leung Lai /Haipeng Xing 2007 Statistical Models Springer
and
Methods for
Financial
Markets

Wackerly/Mendenhall/Scheaffer Mathematical Duxbury

1996 Statistics with
applications

2. Suggested Additional Reading List

Author(s) Year Title Edition/Publisher

10. ESSAY(S)/ASSIGNMENT(S)/PRACTICAL(S)

Title Maximum Marks Submission date

11. EVALUATION
i. Written Examination
Paper Structure

Sections (if any): 2 No. of Questions to be answered: Section A

(Compulsory): 4-5 short questions (total marks of 25 )
Section B: 2 questions out of 3 (Each Question of 25
Marks)

Multiple Choice Questions: None Compulsory Questions (if any): Section A

Exams date: Paper Duration: 2 hours

Weighting: 75 %

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Total Marks: 75 Pass Marks: 40%

ii. Continuous Assessment Weighting

One Test (1 hr) + Assignments may be 25%
given (which may or may not be counted in
the CA)