AMS 516, Statistical Methods in Finance
The course introduces statistical methodologies in quantitative finance. Financial applications and statistical methodologies are intertwined in all lectures. The course will cover regression analysis and applications to the Capital Asset Pricing Model and multifactor pricing models, principal components and multivariate analysis, statistical methods for financial time series; value at risk, smoothing techniques and estimation of yield curves, and estimation and modeling of volatilities.
3 credits, ABCF grading

Text: Statistical Models and Methods for Financial Markets, by T.L. Lai and H. Xing, Springer 1st Edition
ISBN#: 97803877782666

Spring Semester.