Empirical Techniques and Applications in Finance - MFIN6201
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
CSS Contribution Charge: 2 (more info)
Tuition Fee: See Tuition Fee Schedule
Further Information: See Class Timetable
View course information for previous years.
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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