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Empirical Techniques and Applications in Finance - MFIN6201
Science students

 
Faculty: Australian School of Business
 
 
School:  School of Banking and Finance
 
 
Course Outline: http://banking.web.unsw.edu.au/
 
 
Campus: Kensington Campus
 
 
Career: Postgraduate
 
 
Units of Credit: 6
 
 
EFTSL: 0.12500 (more info)
 
 
Indicative Contact Hours per Week: 3
 
 
Enrolment Requirements:
 
 
Prerequisite: enrolment in program 8406
 
 
Fee Band: 5 (more info)
 
 
Further Information: See Class Timetable
 
 

Description

Reviews probability and statistical techniques commonly used in quantitative finance. Topics include common univariate and multivariate continuous distributions, parametric and non-parametric estimation techniques. Advanced topics include: unobserved components and their applications to non-Markov processes, estimation techniques based on Expectation Maximising Algorithm. Applications of these tools include rational stochastic asset price bubble and the measurement of financial market risk premia. Introduced to appropriate software for such exercises.

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