Statistics, Econometrics and Quantitative Methods

S420 Statistics of Financial Markets

Details

Lecturer:Prof. Dr. Martin Biewen, Dipl.-Volksw. Gideon Becker
Profiles:M.Sc. Accounting and Finance
M.Sc. in European Economics
M.Sc. in European Management
M.Sc. in General Management
M.Sc. in International Economics and World Regions
M.Sc. in International Economics and Finance
Prerequisites:Basic knowledge of probability theory, linear algebra and econometric methods
Language:English
Time and Place:

Tue 14:00-18:00 HS 7, Alte Archäologie

Practical sessions/exercises: about every 4th session

Start:11.10.2011
Exam:Written exam (90 Min.)
Credits:7,5 ECTS

Course Outline

1) Univariate Return Distributions

2) Extreme Value Theory

3) Multivariate Return Distributions

4) Copulas, Value at Risk

5) ARIMA Time Series

6) Random Walks, Market Efficiency

7) Stochastic Volatility, GARCH Time Series

8) CAPM-Model, Performance Measures

9) Stochastic Dominance

10) Brownian Motion, Stochastic Calculus

11) Option Pricing, Black-Scholes-Model

Course Materials

Course materials will be made available through Ilias.

Literature

Trede/Schmid: Finanzmarktstatistik

Franke/Härdle/Hafner: Statistics of Financial Markets

Campbell/Lo/MacKinlay: The Econometrics of Financial Markets

McNeil/Frey/Embrechts: Quantitative Risk Management

Baum: An Introduction to Modern Econometrics Using Stata