- Course Code:
- MSCA 32001
This course concentrates on the following topics: review of financial markets and assets traded on them; main characteristics of financial analytics: returns, yields, volatility; review of stochastic models of market price and their statistical representations; concept of arbitrage, elements of arbitrage pricing approach; principles of volatility analyses, implied vs. realized volatility; correlation, cointegration and other relationships between various financial assets; market risk analytics and management of portfolios of financial assets.
The course puts special emphasis on covering main steps of building analytics from visualizing data and building intuition about their structure and patterns to selecting appropriate statistical method to interpretation of the results and building analytical models. Topics are illustrated by data analysis projects using R.
- MSCA 31007: Statistical Analysis
- Basic familiarity with R is a requirement.