It extends the material of Linear Financial Models and Financial Time Series Analysis by providing further illustrations of the applications of statistics to econometrics. Review of recent applications of modern nonlinear statistical methods in the financial literature will be conducted in class. Computational routines related to these topics will be demonstrated. Selected topics of current interest will also be covered as time permits. The final homework will involve programming both a GUI client and a server in Java.
Applications presented are currency options and foward measures in fixed-income models.
This course covers numerical methods relevant to solving the partial differential equations, which arise in finance. Both the theoretical background and practical issues are treated. This course focuses on the use of financial engineering and derivative securities in solving practical business problems. Students will work through business cases and give in-class simulated sales pitches to hypothetical clients. The cases highlight the design, valuation and hedging of structured products.