Statistical Tools in Finance and Insurance

Instructor: 
Guest Instructor: 
M.-J. Lu
A. Pethukina
Time I: 
Tuesday,
12:00pm to 02:00pm
Venue I: 
SPA1, R21b
Description: 

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.

Literature:
− 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

Credits: 
3.00
Program: 
Semester: 
Fall 2016
Affiliation: 
Humboldt-Universität zu Berlin
End date of the whole course: 
Tuesday, February 14, 2017 - 2:00pm