Number of hours
- Lectures 18.0
- Projects -
- Tutorials -
- Internship -
- Laboratory works -
- Written tests -
ECTS
ECTS 2.0
Goal(s)
The goal of this course is to present the main financial theories and the corresponding statistical or econometrics methods.
Contact Ollivier TARAMASCO Responsible(s)
Christophe DUTANG
Content(s)
- Elementary statistical description of stock market prices and returns.
- Econometric models for financial applications :
- ARCH models,
- Stochastic volatility models.
Prerequisites
Probability, Mathematical statistic, non parametrical statistic, multidimensional data analysis, optimisation methods, portfolio management.
Test
Calendar
The course exists in the following branches:
- Curriculum - Financial Engineering - Semester 9
Additional Information
Course ID : 5MMMSF
Course language(s): 
You can find this course among all other courses.
Bibliography
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.