S420 Statistics of Financial Markets

Details

Lecturer:		Prof. Dr. Martin Biewen, MSc Madalina Thiele
Profiles:		MSc Accounting and Finance MSc Economics and Finance MSc European Economics MSc European Management MSc General Management MSc International Business MSc International Economics MSc Management and Economics MSc Economics
Prerequisites:		Basic knowledge of probability theory, linear algebra and econometric methods
Language:		English
Time and Place:		Mon 10:15-11:45, Room: E09, Mohlstr. 36 Tue 16:15-17:45, Room: E09, Mohlstr. 36 Wed 8:30-10, Room: E09, Mohlstr. 36
Start:		17.10.2017
Exam:		Written exam (90 Min.)
Credits:		9 ECTS

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

12) (New Chapter:) Neural Networks, Support Vector Machines

13) (New Chapter:) Credit Risk Management

We expect you to prepare the problem sets for each practical class.

Practical sessions will be on the following days:

20.-21.11.2017
04.-06.12.2017
15.-17.01.2018
29.-31.01.2018

Course materials will be made available through Ilias.

Trede/Schmid: Finanzmarktstatistik

Franke/Härdle/Hafner: Statistics of Financial Markets

Härdle/Simar: Applied Multivariate Statistical Analysis

Danielsson: Financial Risk Forecasting

Campbell/Lo/MacKinlay: The Econometrics of Financial Markets

McNeil/Frey/Embrechts: Quantitative Risk Management

Efron/Hastie: Computer Age Statistical Inference

Baum: An Introduction to Modern Econometrics Using Stata