ST5218: Advanced Statistical Methods in Finance
Spring, 2015
Instructor: Dr. Fang Xiao
Email: [email protected]: 65168949Office: Room S16
06-115
Lecture Hours: Friday 19:0022:00. Lecture Venue: LT20Office
Hour: Friday, 13:00-14:00.
Prerequisite: Basic knowledge in Probability and Statistics:
Random variables; distri-bution function; expectation and variance;
conditional distribution/expectation; centrallimit theorem;
stochastic processes; estimation; confidence intervals; hypothesis
testing;etc. No previous knowledge in Finance is required.
Aims and objectives: The objectives are three: (1) to introduce
students to the basicconcepts and models in Finance; (2) to equip
students with various statistical tools tosolve problems in
Finance; and (3) use of statistical software R.
Text:Statistics and Data Analysis for Financial Engineering
David Ruppert (Springer).
References:Analysis of Financial Time Series 3rd Edition, Ruey
S. Tsay (Wiley).Options, Futures, and Other Derivatives 8th
Edition, John C. Hull (Pearson).
Tentative syllabus:
Topics in Finance: returns; portfolio theory; cointegration;
capital asset pricingmodel.
Topics in Statistics: exploratory data analysis; modeling
univariate and multivariatedistributions; copulas; resampling; time
series.
The following topics may also be discussed: principal component
analysis; Markovchain Monte Carlo simulation; risk management;
nonparametric regression; Black-Scholes formula.
Things I will NOT cover: regression; Bayesian statistics.
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