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Fall 2019 Statistics GR5261 section 001

Call Number 48493
Day & Time
F 10:10am-12:40pm
428 Pupin Laboratories
Points 3
Grading Mode Standard
Approvals Required None
Instructor Hammou Elbarmi
Method of Instruction Classroom
Course Description Prerequisites: STAT GR5204 or the equivalent. STAT GR5205 is recommended. A fast-paced introduction to statistical methods used in quantitative finance. Financial applications and statistical methodologies are intertwined in all lectures. Topics include regression analysis and applications to the Capital Asset Pricing Model and multifactor pricing models, principal components and multivariate analysis, smoothing techniques and estimation of yield curves statistical methods for financial time series, value at risk, term structure models and fixed income research, and estimation and modeling of volatilities. Hands-on experience with financial data.
Web Site Vergil
Department Statistics
Enrollment 62 students (110 max) as of 7:03PM Thursday, February 20, 2020
Subject Statistics
Number GR5261
Section 001
Division Interfaculty
Campus Morningside
Note STAT MA & Math Finance students only
Section key 20193STAT5261W001

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SIS update 02/20/20 19:03    web update 02/20/20 21:23