Which one are you? Registration Financial Modeling Content Schedule | Course Content All the sessions include personal work in the computer lab. Monday | What will you learn and implement? Morning: Introduction to Monte Carlo analysis  | What is it and why do we need it? Monte Carlo versus mathematics | | Creating of random numbers, random variables and series | | Some simple examples | | Some related techniques: bootstrapping and guesstimation |
Afternoon: Introduction to GAUSS and Monte Carlo | First steps in GAUSS | | Simulate your own random variable | | Simulate your own pricing process |
| Tuesday | What will you learn and implement? | Basic mathematical apparatus: nonstationarity, random walks and Wiener processes | | Some more mathematics: stochastic convergence and stochastic integrals | | Wiener processes in option pricing models |
Afternoon: Monte Carlo analysis of Brownian motion and Wiener processes | Simulation of random walks and Wiener processes | | Simulation of option pricing models |
| Wednesday | What will you learn and implement? Morning: Nonstationary financial time series | Wiener process in modeling nonstationary financial series: Donsker theorem and related issues | | Consequences of nonstationarity: integration and cointegration of financial time series | | Predictability and market efficiency: when does it mean the same and when it does not? |
Afternoon: Monte Carlo analysis of Brownian motion and Wiener processes | Does the Donsker theorem really work? | | Monte Carlo and the Dickey-Fuller distribution |
| Thursday | What will you learn and implement? Morning: Contemporary unit root tests and procedures | Basic unit root tests (DF, DFmax, KPSS, ERS) | | Unit root tests and structural breaks (Andrews-Zhivot, Vogelsang-Perron, Harvey and Mills) | | Co-breaking and forecasting of nonstationary financial series: tricks of the trade |
Afternoon: Buoyant fin du siècle, gloomy début du siècle on the financial markets: initial explanation | Finding a unit root | | Finding a break |
| Friday | What will you learn and implement? Morning: Beyond the unit root financial econometrics | Is unit root econometrics deceiving us? | | More advanced mathematical background: Gihman and Skorohod theorem | | | | New econometric armoury: the LMT and CLM tests |
Afternoon: Buoyant fin du siècle, gloomy début du siècle on the financial markets: further explanation | Identifying breaks and slowdowns | | Looking for speculative bubbles |
| Saturday | What will you learn and implement? Morning: Speculation and efficiency | Concepts of speculation and efficiency: fundamentals and bubbles | | Normality and non-normality of returns: causes and measurements (introduction into Pareto-Levy distributions) | | Efficiency and speculation: similarities and differences | | How to find the best process? Tricks of the trade |
Afternoon: Simulation and empirical analysis of speculative bubble processes | Simulate your own bubble process: does it fit to the real-life data? | | Are you a good forecaster: a competition? |
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Irfan |
