STATS 239A: Workshop in Quantitative Finance
Topics of current interest.
Terms: Aut
| Units: 1
| Repeatable
for credit
Instructors:
Lai, T. (PI)
STATS 239B: Workshop in Quantitative Finance (CME 239B)
Topics of current interest. May be repeated for credit.
Terms: Win, Spr
| Units: 1
| Repeatable
for credit
Instructors:
Lai, T. (PI)
STATS 240: Statistical Methods in Finance
(SCPD students register for 240P.) Regression analysis and applications to investment models. Principal components and multivariate analysis. Likelihood inference and Bayesian methods. Financial time series. Estimation and modeling of volatilities. Statistical methods for portfolio management. Prerequisite:
STATS 200 or equivalent.
Terms: Aut
| Units: 3-4
Instructors:
Lai, T. (PI)
STATS 240P: Statistical Methods in Finance
For SCPD students; see 240.
Terms: Aut
| Units: 3
Instructors:
Lai, T. (PI)
STATS 241: Econometric Modeling Methodology and Applications to Financial Markets
(SCPD students register for 241P.) Substantive and empirical modeling approaches in options and interest rate markets. Nonlinear least squares and nonparametric regression. Multivariate time series modeling and forecasting. Applications of canonical correlation analysis and cointegration. Statistical trading strategies and their evaluation. Prerequisite: 240 or equivalent.
Last offered: Winter 2012
STATS 241P: Econometric Modeling Methodology and Applications to Financial Markets
For SCPD students; see
STATS241.
STATS 242: Algorithmic Trading and Quantitative Strategies
An introduction to financial trading strategies based on methods of statistical arbitrage that can be automated. Methodologies related to high frequency data and stylized facts on asset returns; models of order book dynamics and order placement, dynamic trade planning with feedback; momentum strategies, pairs trading. Emphasis on developing and implementing models that reflect the market and behavioral patterns. Prerequisite:
STATS 240 or equivalent.
Terms: Sum
| Units: 3
Instructors:
Velu, R. (PI)
STATS 243: Financial Models and Statistical Methods in Active Risk Management (CME 243)
(SCPD students register for 243P.) Market risk and credit risk, credit markets. Back testing, stress testing and Monte Carlo methods. Logistic regression, generalized linear models and generalized mixed models. Loan prepayment and default as competing risks. Survival and hazard functions, correlated default intensities, frailty and contagion. Risk surveillance, early warning and adaptive control methodologies. Banking and bank regulation, asset and liability management. Prerequisite:
STATS 240 or equivalent.
Terms: Win
| Units: 3-4
Instructors:
Lai, T. (PI)
STATS 243P: Financial Models and Statistical Methods in Risk Management
For SCPD students; see
STATS243.
Terms: Win
| Units: 3
Instructors:
Lai, T. (PI)
STATS 250: Mathematical Finance (MATH 238)
Stochastic models of financial markets. Forward and futures contracts. European options and equivalent martingale measures. Hedging strategies and management of risk. Term structure models and interest rate derivatives. Optimal stopping and American options. Corequisites:
MATH 236 and 227 or equivalent.
Terms: Win
| Units: 3
Instructors:
Papanicolaou, G. (PI)
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