| Description |
Econometric and statistical methods as applied to finance. Topics include: Overview of Statistical Methods; Predictability of asset returns; Discrete time volatility models; Efficient Portfolio and CAPM; Multifactor Pricing Models; Intertemporal Equilibrium and Stochastic Discount Models; Expectation and present value relation; Simulation methods for financial derivatives; Econometrics of financial derivatives; Forecast and Management of Market Risks; Multivariate time series in finance; Nonparametric methods in financial econometrics |