4808077: C15 Quantitative Finance

Beschreibung

Quantitative Finance will cover:

• Classical linear regression model assumptions and diagnostic tests
• Expansions of the simple linear regression model to multiple linear regressions
• Long-run relationships in finance
• Models of time series volatility and covariances
• Simulational methods in finance
• Introduction to ThomsonReuters Eikon

Voraussetzungen (inhaltlich)

Econometrics and Advanced Mathematics and Statistics:

• Students should have a working understanding of simple linear regressions, of single time series models of the ARIMA-type, both in a theoretical manner as well as regarding its practical implementations (estimation and statistical inference) in R or EViews (or any other appropriate statistical programme)

• Students should have an understanding of single and multi variable calculus, matrices, probability and probability distributions, and descriptive statistics