Ensimag Rubrique Formation 2022

Financial mathematical programmation project - WMMFMA10

  • Number of hours

    • Lectures 36.0
    • Projects -
    • Tutorials -
    • Internship -
    • Laboratory works -
    • Written tests -

    ECTS

    ECTS 4.0

Goal(s)

Program a C++ library of regression models with ARCH type residuals.
Excel / WEB interface C# and C++/CLI

Responsible(s)

Ollivier TARAMASCO

Content(s)

  • Class design of ARMA/GARCH type models
  • Conditional mean and conditional variance computation.
  • Simulation
  • Maximum likelihood estimation
  • Asympototic covariance matrix of the estimators
  • Tests of parameters
  • User's interface

Prerequisites

2nd Year program
Financial statistical methods

Test

Continuous control (100%)

N1=P
pas de rattrapage

Calendar

The course exists in the following branches:

  • Curriculum - Financial Engineering - Semester 9
see the course schedule for 2020-2021

Additional Information

Course ID : WMMFMA10
Course language(s): FR

The course is attached to the following structures:

You can find this course among all other courses.