Financial mathematical programmation project - WMMFMA12

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

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 2022-2023

Additional Information

Course ID : WMMFMA12
Course language(s):

The course is attached to the following structures:

Team Probability-Statistics
Team Finance.

You can find this course among all other courses.

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Date of update September 21, 2022

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 - WMMFMA12

Number of hours

Goals