This MS-CFRM pre-program course is an introduction to computational finance and financial econometrics. The course uses the material contained in CFRM 460 and CFRM 461 to build and analyze statistical models for asset returns.
The following topics are covered
- Asset return calculations
- Probability and statistics applied to asset returns, including: univariate and multivariate distributions, covariance, descriptive statistics, time series concepts, estimation, hypothesis testing, Monte Carlo simulation, bootstrap standard errors
- Optimization methods involving equality and inequality constraints
- Matrix algebra
- Statistical distributions and models for asset returns
- Value-at-risk, expected shortfall and portfolio risk budgeting
- Mean-variance portfolio theory
- Statistical analysis of portfolios
- Capital asset pricing model (CAPM)
- Investment performance measurement and analysis
Upon completion of the course students will be able to apply the fundamental mathematical and statistical concepts needed to estimate and analyze statistical models for asset returns and to apply these models to portfolio theory and risk analysis.
Course Dates: Summer Quarter 2014.
Credits: Undergraduate level credit does not count toward the MS-CF&RM degree or the Computational Finance Certificate requirements. Credit can count towards the Quantitative Fundamentals Certificate in Computational Finance.
Single Course Enrollment Applicants:
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