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QSTMF 793 - Statistics for Mathematical Finance

This course covers the fundamental principles of statistics and econometrics. It is mandatory for all tracks of the MSc. program. The course first reviews the needed concepts in probabilities, properties of random variables, the classic distributions encountered in Finance. Then, we cover the principles of random sampling, properties of estimators, e.g., the standard moment estimators (sample mean, variance, etc..). The next major topic is the regression analysis. We study the OLS and GLS principles, review their properties, in the standard case and when ideal assumptions are not correct. The course ends with a study of time series ARMA models and volatility models such as GARCH and Risk-Metrics. The course makes intensive use of the R package. (Mathematical Finance courses are reserved for students enrolled in the Mathematical Finance program.)
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Fall 2021, Fall 2020, Fall 2019
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