MFIN6201 Empirical Techniques and Applications in Finance

6 Units of Credit
Banking & Finance

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Reviews probability and statistical techniques commonly used in quantitative finance. Topics include common univariate and multivariate continuous distributions, parametric and non-parametric estimation techniques. Advanced topics include unobserved components and their applications to non-Markov processes, estimation techniques based on Expectation Maximising Algorithm. Applications of these tools include rational stochastic asset price bubble and the measurement of financial market risk premia. Introduced to appropriate software for such exercises.