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                                                   And Mathematician

 BRIEF COURSE CONTENT                                                     Detail Course Content
      Introduction to Statistical Inference
                                                  Introduction to Statistical Inference        Simulation Methods for Option Pricing
      Linear Financial Models/Equity
       Portfolio Management                       Linear Financial Models/Equity                    o   Random variable generation
      Financial Time Series Analysis              Portfolio Management.                             o   Variance reduction methods
                                                                                                     o   Statistical analysis of simulation
      Simulation Methods for Option                   o   Simple and Multiple linear                    output & importance sampling
       Pricing                                             regression                                o   Martingale control variables
      Statistical Arbitrage                           o   Model selection                           o   Stratification and the estimation of
                                                       o   Residual analysis                             derivatives
                                                       o   Diagnostics                               o   Use of low discrepancy
DURATION :- 4-6 Months                                                                                   sequences
                                                       o   Detection of multi-collinearity           o   Pricing American options
                                                       o   nonstandard conditions and                o   Scenario simulation for risk
                                                           transformations                               management
                                                       o   Principal components                      o   General principles of arbitrage
                                                       o   Factor analysis                               pricing theory
                                                                                                     o   Statistical nature of the price
                                                                                                     o   Volatility fluctuations in financial
                                                  Financial Time Series Analysis.                       markets

                                                                                                Statistical Arbitrage
                                                       o   Time series methodology
                                                       o   Data analytic aspects                     o   General principles of arbitrage
                                                       o   Time domain and the                           pricing theory
                                                           frequency domain approach                 o   Statistical nature of the price
                                                       o   Univariate ARIMA modelling                o   Volatility fluctuations in financial
                                                       o   Forecasting & Seasonality                     markets
                                                       o   Model identification &                    o   Market Neutral strategies
                                                                                                     o   Statistical Techniques for pricing
                                                           diagnostics                                   inefficiencies
                                                       o   Time series modelling of                  o   Various statistical strategies
                                                           equity returns                                (including pairs trading,
                                                       o   Trading day effects                           cointegration-based trading, data
                                                       o   Volatility estimations                        mining, as well as strategies using
                                                       o   Unit root phenomenon                          the information from derivatives
                 Statistician                          o   GARCH and Stochastic                          markets)
                                                                                                     o   How to search for arbitrage
                 and mathematician                         volatility modelling                          strategies (based on intra-day
                                                       o   Trend break analysis &                        patterns, long-term patterns, multi-
                                                           Nonlinearity                                  equity relationships)
                                                                                                     o   Risk assessment

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