2010-2011 Academic Catalog 
    
    May 22, 2024  
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2010-2011 Academic Catalog [ARCHIVED CATALOG]

FIN 5218 - Topics: Quantitative Finance & Econometrics

This course introduces the most important estimation techniques such as maximum likelihood method (ML) and generalized method of moments (GMM) and applies them towards a number of examples (including ARMA, ARCH and GARCH type models). The financial component of the class comprises discussion on an optimal growth portfolio and other models of portfolio choice. Those topics will be extended by examination of trading rules and market efficiency along with description of possible dynamics of asset prices and returns.

Prerequisites: Prerequisite for MBA students: FIN 4200 , STAT 4006 . Prerequisite for MSF students: FIN 5309 .

When Offered: 14 weeks

Faculty: TBA
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