"G. d'Annunzio"
A sound familiarity with undergraduate statistics.
The course pursues the general objective of the course of study to provide knowledge and skills for executive functions in the economic-financial area of private and public companies. The course aims to provide the mathematical, statistical and computational tools necessary to solve financial problems, with particular reference to pricing and risk management. Alongside the study of the methodologies, space will be given to applications and operational aspects with the use of statistical software R. At the end of the course the student will possess knowledge and skills relating to the analysis of financial data observed over time and, moreover, to be in able to estimate and use models for financial series.
First module 1. Exploratory data analysis of Prices and Returns 2. Value at Risk and Expected Shortfall 3. Mean-variance analysis and modern portfolio theory 4. Capital Asset Pricing Model Second module 5. Time-Serie Analysis, ARMA models: specification, inference and forecasting 6. Models for volatility analysis and prediction: ARCH and GARCH models 7. Models for macro—finance analysis: Vector Autoregressive models.
Slides and course materials. Suggested reading: Gallo, G. M., Pacini, B., Metodi quantitativi per i mercati finanziari, Carocci, Roma, 2013 (VII Ristampa). Di Fonzo, T., Lisi F., Serie storiche economiche, Carocci, 2012.
Classes, recitations, R tutorials.
Written (70%) and oral exam (30%).
Additional material for exam preparation (Slides, recitations, R routines, datasets) is available on the TEAM course channel. If Health Laws and University regulations allow, teaching activities, teachers office hours’, and exams may take place online (in whole or in part). For any further information and updates, please refer to the University website.
