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Quantitative finance FN3142

This course is aimed at students interested in obtaining a thorough grounding in market finance and related empirical methods.

Prerequisites / Exemptions

Prerequisite: A course that you must have ordinarily attempted all elements of before you are permitted to register for another particular course.

If taken as part of a BSc degree, courses which must be attempted before this course may be taken:

  • EC2020 Elements of econometrics 
  • EC2066 Microeconomics.


Students can only take FN3142 Quantitative finance at the same time as or after FN3092 Corporate finance, not before.

Topics covered

  • Concepts and measures of risk
  • Time-series analysis
  • Empirical features of financial asset returns
  • Market risk models
  • Models of financial market correlations
  • Forecast evaluation methods
  • Risk management
  • Asset allocation decisions
  • Market microstructure and high frequency data

Learning outcomes

If you complete the course successfully, you should be able to:

  • Demonstrate mastery of econometric techniques required in order to analyse issues in asset pricing and market finance
  • Demonstrate familiarity with recent empirical findings based on financial econometric models
  • Understand and have gained valuable insights into the functioning of financial markets
  • Understand some of the practical issues in the forecasting of key financial market variables, such as asset prices, risk and dependence.


Unseen written exam (3 hrs 15, including reading time).

Essential reading

  • Christoffersen, P.F., Elements of Financial Risk Management. Second Edition. Academic Press, London.
  • Diebold, F.X., Elements of Forecasting. Fourth Edition. Thomson South-Western, Canada.

Course information sheets

Download the course information sheets from the LSE website.