MATH 60633A

Statistics is an essential tool in quantitative finance, namely for the estimation of portfolio and risk models. This course covers estimation methods, multivariate models, dimensionality reduction, resampling, as well as model validation methods.

The course aims at mastering statistic tools used in financial engineering and quantitative finance models. It covers estimation methods (frequency, Bayesian, and heuristic approaches) multivariate models (elliptic distributions and copulas), dimensionality reduction (principal components and factor models) and resampling, as well as model validation and testing methods. These methods are applied to practical cases encountered in the financial industry. Special emphasis will be placed on production and implementation (collaborative computer programming and efficient implantation).