Statistics of Financial Markets II (VL)

Instructor: 
Time I: 
Monday,
04:00pm to 06:00pm
Venue I: 
HU Berlin, Spandauer Str. 1, Room 23
Description: 

Learn from Nobel prize winners, such as Engle (ARCH Models, 2003), Scholes, Merton, (Derivative Valuation, 1997) or Modigliani (Financial Markets Analysis, 1985) to understand statistics of financial markets!
The class is addressed to students with excellent knowledge of multivariate statistics and students with good skills in statistical software. This course is a starting point for students interested in quantitative finance and students with ambitions to work in the derivative, investment and risk-control departments. Former students of this course work for example at Deutsche Bank, Sal. Oppenheim, Citigroup, European Central Bank, BAFin, KPMG, Nadler Company and many international universities.

Literature:
Franke, J., Härdle, W., and Hafner, C. (2015) Statistics of Financial Markets: an Introduction. 4th ed., Springer Verlag, Heidelberg. ISBN: 978-3-642-54538-2 (555 p)

Härdle, W., Hautsch, N. and Overbeck, L. (2009) Applied Quantitative Finance. 2nd extended ed., Springer Verlag, Heidelberg. ISBN 978-3-540-69177-8 (448 p)

Hull (2005) Options, Futures, and Other Derivatives. 6th ed., Prentice Hall. ISBN 0-13-149908- 4 (816 p)

Härdle, W., Simar, L. (2015) Applied Multivariate Statistical Analysis. 4th extended ed., Springer Verlag, Heidelberg. ISBN 978-3-662-45170-0 (580 p)

Cizek, P., Härdle, W., Weron, R. (2011) Statistical Tools for Finance and Insurance. 2nd ed., Springer Verlag, Heidelberg. ISBN: 978-3-642-18061-3 (420 p)

www.quantlet.de

Exam: Oral Exam

Credits: 
3.00
Program: 
Semester: 
Spring 2017
Affiliation: 
Humboldt-Universität zu Berlin
End date of the whole course: 
Monday, July 17, 2017 - 6:00pm