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).
3 points