MFIM 636 Quantitative Finance I
This course introduces advanced methodological tools required to do research in finance and investment analysis. Topics include basic theory of statistical inference with linear models, general linear models, Heteroskedasticity models, time series models, analysis of variance, discriminate analysis, factor analysis, and non-parametric tests. Emphasizes modern portfolio theory. This course will also cover asset pricing models (preferences, utility functions, risk aversion, basic consumption model, the mean-variance frontier, factor models, and robust preferences) and options pricing and risk management (arbitrage pricing in a complete market, delta-hedging, risk measure, and Value at Risk).
Prerequisite
MFIM 601 Probability & Statistics and
MFIM 602 Financial Management