STATS 238: The Future of Finance (ECON 152, ECON 252, PUBLPOL 364)
If you are interested in a career in finance or that touches finance (computational science, economics, public policy, legal, regulatory, corporate, other), this course will give you a useful perspective. We will take on hot topics in the current landscape of the global markets as the world continues to evolve from the financial crisis. We will discuss the sweeping change underway at the policy level by regulators and legislators around the world and how this is changing business models for existing players and attracting new players to finance. The course will include guest-lecturer perspectives on where the greatest opportunities exist for students entering or touching the world of finance today including new and disruptive players in fin tech, crowd financing, block chain, robo advising, algorithmic trading, big data and other areas. New challenges such as cyber and financial warfare threats also will be addressed. While derivatives and other quantitative concepts will be handled in a non-technical way, some knowledge of finance and the capital markets is presumed. Elements used in grading: Class Participation, Attendance, Final Paper. Consent Application: To apply for this course, students must complete and email to the instructors the Consent Application Form, which will be made available on the Public Policy Program's website prior to the beginning of Winter Quarter. See Consent Application Form for submission deadline. (Cross-listed as
ECON252/152,
PUBLPOL364,
STATS238,
LAW 564.)
Terms: Win
| Units: 2
Instructors:
Beder, T. (PI)
STATS 239: Mathematical and Computational Finance Seminar (CME 242)
Terms: Aut, Spr
| Units: 1
| Repeatable
for credit
Instructors:
Jain, K. (PI)
STATS 239A: Workshop in Quantitative Finance
Topics of current interest.
Last offered: Autumn 2013
| Repeatable
for credit
STATS 239B: Workshop in Quantitative Finance (CME 239B)
Topics of current interest. May be repeated for credit.
Last offered: Spring 2014
| Repeatable
for credit
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
STATS 240P: Statistical Methods in Finance
For SCPD students; see 240.
Terms: Aut
| Units: 3
STATS 241: Data-driven Financial and Risk Econometrics
(SCPD students register for 241P) Substantive and empirical modeling approaches in options, interest rate, and credit markets. Nonlinear least squares, logistic regression and generalized linear models. Nonparametric regression and model selection. Multivariate time series modeling and forecasting. Vector autoregressive models and cointegration. Risk measures, models and analytics. Prerequisite or corequisite:
STATS 240 or equivalent.
Terms: Aut
| Units: 3-4
STATS 241P: Data-driven Financial and Risk Econometrics
For SCPD students; see
STATS241.
Terms: Aut
| Units: 3
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.
Last offered: Summer 2015
STATS 243: Financial Models and Statistical Methods in Active Risk Management (CME 243)
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: Sum
| Units: 3
Instructors:
Tsang, K. (PI)
;
Kuang, Y. (TA)
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