MA6622 · Statistical Methods and Calibration in Finance and Actuarial Science

This course aims to - introduce econometric theory and calibration methods applied to finance and insurance engineering, e.g. in implementation of interest rate models; - provide up-to-date knowledge of econometrics and calibrations for financial and economic time series, with emphasis on theories, case studies and use of software; - develop theory of relative-value and hedging progressively with a “financial engineering approach”; and - focus on specific aspects of pricing and hedging and with problems that a technical analyst or trader has to consider in practice.