- WMMFMA29

Goal(s)

This course aims to understand the stochastic dependency, the tool of copulas as well as their properties and their associated inference methods. Students will apply these concepts with exercices and practical works.

Responsible(s)

Christophe DUTANG

Content(s)

1 Introduction
2 Concepts associated with random vectors
3 Copulas
4 Usual families
5 Measure dependancy
6 Statistical inference

Probability : random variable, distribution function; Statistics : inference methods

Test

Evaluation : 40% of Participation et assiduité and 60% of Examen écrit (2h)

Resit : 30% of Participation et assiduité (reported score) and 70% of Examen écrit (1h30)

In the first session, the course unit grade (N1) is the weighted average of the continuous assessment (CC) and the final exam (ET1). The continuous assessment (CC) will take into account class participation and the submission of assignments on Teide. The final exam (ET1) will be a 2-hour individual written exam held in a standard classroom.

In the second session, assessment will be based on a 1.5-hour exam (ET2), with the continuous assessment grade carried over.

Authorized materials: one handwritten A4 summary sheet

Unauthorized materials: any other documents or equipment

Calendar

The course exists in the following branches:

• Curriculum - Financial Engineering - Semester 9

Additional Information

Course ID : WMMFMA29
Course language(s):

You can find this course among all other courses.

Bibliography

R. Nelsen (2006), An Introduction to Copulas, Springer