Financial mathematical programmation project - WMMFMA10

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Number of hours
- Lectures : 36.0
- Tutorials : -
- Laboratory works : -
- Projects : -
- Internship : -
- Written tests : -
ECTS : 4.0
Officials : Ollivier TARAMASCO

Goals

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

Content

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

Tests

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):

The course is attached to the following structures:

Team Finance.
Team Probability-Statistics

You can find this course among all other courses.

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Date of update January 15, 2017

Version française

Voir la version française de cette page

École nationale supérieure d'informatique et de mathématiques appliquées
681, rue de la passerelle - Domaine universitaire - BP 72
38402 SAINT MARTIN D'HERES

Financial mathematical programmation project - WMMFMA10

Number of hours

Goals

Version française