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Fall 2019 Statistics GU4261 section 001
STATISTICAL METHODS IN FINANCE
STATISTICAL METHODS IN

Call Number 10362
Day & Time
Location
F 10:10am-12:55pm
428 Pupin Laboratories
Points 3
Grading Mode Standard
Approvals Required None
Instructor Hammou Elbarmi
Type LECTURE
Method of Instruction Classroom
Course Description Prerequisites: STAT GU4205 or the equivalent. 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 8 students (25 max) as of 8:04AM Sunday, December 8, 2019
Subject Statistics
Number GU4261
Section 001
Division Interfaculty
Open To Columbia College, Engineering:Undergraduate, Engineering:Graduate, GSAS, General Studies, Professional Studies
Campus Morningside
Section key 20193STAT4261W001

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SIS update 12/08/19 08:04    web update 12/08/19 15:19