STAT W 4290y Statistical Methods in Finance
A fast-paced introduction to statistical methods used in quantitative
finance. Financial applications and statistical methodologies are intertwined
in all lectures. Topics include regression analysis and applications to the
Capital Asset Pricing Model and multifactor pricing models, principal
components and multivariate analysis, smoothing techniques and estimation of
yield curves statistical methods for financial time series, value at risk,
term structure models and fixed income research, and estimation and modeling
of volatilities. Hands-on experience with financial data.
Prerequisites: STAT W3107 or W4107. General Education Requirement: Quantitative and Deductive Reasoning (QUA).