【课程名称】Financial Statistics and Data Analysis金融统计和数据分析
【授课学校】印第安纳大学
【课程介绍】
In this course we will study statistical techniques for the anal- ysis of nancial market data, including stocks, options, etc. We will cover a variety of advanced statistical techniques for the discrete case: the family of ARIMA models, the GARCH family for stochastic volatility modeling and option pricing, and the family of FARIMA models for time series with long memory. For the continuous case, we will apply the Black-Scholes formula to option pricing and study necessary variance reduction techniques. We will cover other topics in nancial statistics as time permits.
【教学资源】
此课程有 8 个资源，分类如下:
教学大纲1
教师简历1
讲义6
【参考教材】
Statistics and Data Analysis for Financial Engineering
David Ruppert - Springer, November 17, 2010
