S420 Statistics of Financial Markets
Details
Lecturer: | Prof. Dr. Martin Biewen, MSc Madalina Thiele | |
Profiles: | MSc Accounting and Finance | |
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 |
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
12) (New Chapter:) Neural Networks, Support Vector Machines
13) (New Chapter:) Credit Risk Management
Practical Sessions
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
Course materials will be made available through Ilias.
Literature
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