Stochastic modeling for finance - 5MMMSF

1. Elementary statistical description of stock market prices and returns.
2. Econometric models for financial applications :

• ARCH models,
• Stochastic volatility models.

Probability, Mathematical statistic, non parametrical statistic, multidimensional data analysis, optimisation methods, portfolio management.

The course exists in the following branches:

• Curriculum - Financial Engineering - Semester 9

Course ID : 5MMMSF
Course language(s):

You can find this course among all other courses.

C. Gourrieroux : Modèles ARCH et applications financières. Economica
N. Shephard : Stochastic volatility. Advanced texts in Econometrics.
C. Gourrieroux, O. Scaillet, A Szafarz: Econometrie de la finance.