DCU Home | Our Courses | Loop | Registry | Library | Search DCU

Module Specifications..

Current Academic Year 2023 - 2024

Please note that this information is subject to change.

Module Title Financial and Actuarial Models
Module Code MS349
School School of Mathematical Sciences
Module Co-ordinatorSemester 1: Paolo Guasoni
Semester 2: Paolo Guasoni
Autumn: Paolo Guasoni
Module TeachersPaolo Guasoni
NFQ level 8 Credit Rating 7.5
Pre-requisite None
Co-requisite None
Compatibles None
Incompatibles None

This module offers a theoretical and practical introduction to the analysis of financial and actuarial data, with practical assignments based on the statistical language R. Students learn to estimate statistical properties of financial and actuarial data in the time series and the cross section, to make predictions based on ARIMA time-series techniques, and on back testing the performance of predictors. The module includes case-studies on portfolio optimization, estimation of extreme events probabilities, the construction of stock indexes, and the principal-component-analysis of commodities futures. The course involves the use of large datasets, downloading data on-the-fly from online repositories, and otherwise manipulating data in multiple formats.

Learning Outcomes

1. Analysis of Data
2. Model Design
3. Model Testing and Interpretation

Workload Full-time hours per semester
Type Hours Description
Independent Study160Independent work
Total Workload: 196

All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml

Indicative Content and Learning Activities

Assessment Breakdown
Continuous Assessment25% Examination Weight75%
Course Work Breakdown
TypeDescription% of totalAssessment Date
In Class TestLaboratory practical test25%n/a
Reassessment Requirement Type
Resit arrangements are explained by the following categories;
1 = A resit is available for all components of the module
2 = No resit is available for 100% continuous assessment module
3 = No resit is available for the continuous assessment component
This module is category 1
Indicative Reading List

    Other Resources

    Programme or List of Programmes
    ACMBSc in Actuarial Mathematics
    FIMB.Sc. Financial Mathematics

    My DCU | Loop | Disclaimer | Privacy Statement