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| This advanced course gives a thorough overview of contemporary techniques used in quantitative financial analysis, with the emphasis on recent advances in nonstationary stochastic modeling of asset prices and returns series. The course will be provided by Professor Wojciech W. Charemza (University of Leicester) and a group of highly experienced modelers.
Course Goal After completion of the course you will know the basic mathematical apparatus of the diffusion analysis of financial time series (Wiener processes), will acquire knowledge of the up-to-date tests for structural breaks and nonstationarity. Moreover, you will also be taught the newest techniques used for the analysis of nonlinear nonstationary financial time series and how to deal with market inefficiency and speculative processes. Morning sessions will be devoted to interactive lectures and summing-up discussions. Afternoon sessions will be computer-based: students will be working on real-life data of world-wide stock market prices and will also create (simulate) their own datasets. Students will be taught basics GAUSS: modern computer software especially suitable for tackling non-trivial problems in nonlinear financial modeling. The main theme of the computer classes will be the explanation of current slowdown on the financial markets. By the end of the course the participants will have acquired detailed knowledge of and extensive hands-on experience in:
The course will mainly take place in the computer labs of the Free University of Brussels. For the d
Assumed Background This course is only accessible to economists having a good background and experience in econometrics. It is assumed that the participants have advanced knowledge of statistics and econometrics and some mathematical background, comparable with an M.Sc. degree in economics and finance. In particular, it is assumed that basic econometric techniques (ordinary least squares) and principles of testing of statistical hypothesis are known. It would be an advantage for the participants to have basic understanding of the econometric analysis of nonstationary time series (Dickey-Fuller test), although this topic will briefly be covered during the course. It is also assumed that the participants are well versed with basics of the financial analysis and, in particular, they have some knowledge of option pricing models (Black-Scholes model, etc).
Sample Daily Schedule
Cost The fee for the course is US $3600. This includes course materials, lectures, computer labs, lunches, morning and afternoon coffee breaks, receptions. University students and staff get a discount of 25 percent. Please include a photocopy of your student or staff card. You can pay by check, credit card
Contact for registrations and further information |
Irfan
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