Statistical Tools in Finance and Insurance

Guest Instructor: 
L. Fang, S. Nasekin
Time I: 
Tuesday, 10:15am
Venue I: 
Spandauer Str. 1, R 21a

The course offers an overview of advanced statistical methods in quantitative finance and insurance which should be comprehensible for a graduate student in financial engineering as well as for an inexperienced newcomer who wants to get a grip on advanced statistical tools applied in these fields.



-      Cizek, Härdle, Weron (2011): Statistical Tools for Finance and Insurance. 2nd ed., Springer Verlag.

-      Franke, Härdle, Hafner (2011): Statistics of Financial Markets. 3rd ed., Springer Verlag.

-      Härdle, Hautsch, Overbeck (2009): Applied Quantitative Finance. 2nd extended ed., Springer Verlag.

-      Härdle, Simar (2012): Applied Multivariate Statistical Analysis. 3rd ed., Springer Verlag.

-      Gentle, Härdle, Mori (2012): Handbook of Computational Statistics, Concepts and Methods. 2nd ed., Springer Verlag.

-      Klugman, Panjer and Willmot (1998): Loss Models: From Data to Decisions. Joh Wiley & Sons.


Exam: Oral exam



Fall 2015
Humboldt-Universität zu Berlin