2020-2021 Graduate Catalog

MFIM 641 Quantitative Finance II

The course has an emphasis on applications rather than statistical theory, and thus builds on Quantitative Finance I by emphasizing the use of financial data to conduct applied analysis. The aim of the course is to equip students with a working knowledge of important econometric techniques used in financial economics, such as event study, advanced time series analysis, and survival analysis. Substantial emphasis will be placed on the development of programming skills in computer program. The emphasis is on understanding and learning how to apply the econometric tools used by academics and practitioners working in these areas. The course will be helpful for anyone interested in pursuing a graduate degree in a quantitative field, but equally helpful for students interested in working at research institutions or financial institutions.

Credits

3

Prerequisite

MFIM 636 Quantitative Finance I, MFIM 638 Financial Analysis & Firm Valuation, and MFIM 640 Investment Management