Course Description
Multivariate Statistical Methods. Exploratory Data Analysis. Returns and the Random Walk Model. Copulas. Time Series Models. Robust Statistics. Extreme Value Analysis.
Course Objectives & Outcomes
The objectives of this course are to:
- Study some selected topics from finance and insurance that cover a variety of advancedstatistical techniques.
- Apply the definitions and properties of the studied methodologies in practical situations.
Upon successful completion of this course, the student will be able to:
- Understands the theoretical properties and the proofs that were given for the studied methodologies.
- Understand and to interpret output and draw the correct conclusions about the obtained results.
References
1. DAVID RUPPERT .(2011). STATISTICS AND DATA ANALYSIS FOR FINANCIAL ENGINEERING. SPRINGER TEXTS IN STATISTICS. ISBN 978-1-4419-7787-8
2. Ruppert, D. (2004) .Statistics and Finance An Introduction. Springer New York. ISBN 978-1-4419-6876-0.
3. René A. C., Moral, p. D., Hu, P. and Oudjane, N. (2010). Numerical Methods in Finance: Bordeaux, June 2010. Workshop on Numerical Methods in Finance. Springer. ISBN 978-3-642-25745-2.
Course ID: STAT 451
| Credit hours | Theory | Practical | Laboratory | Lecture | Studio | Contact hours | Pre-requisite | 3 | 3 | 3 | 6 | STAT 404 |
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