This course will cover financial stochastic models and their statistical inferences with applications to volatility analysis and risk management. It will introduce discrete models such as binomial trees and GARCH and stochastic volatility models as well as simple continuous models like the Black-Scholes model. The main focus of the course will be on statistical inference, data analysis and risk management regarding these models.
Stat 333 or Econ 410 and one of Stat 309 or Stat 311 or Math 431
Students majoring in statistics or business or those wishing to take additional statistics courses.