STATISTICIAN

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					                         Statistician
                                                   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
                                                  Portfolio Management.                              o    Variance reduction methods
       Financial Time Series Analysis
                                                                                                      o    Statistical analysis of simulation
      Simulation Methods for Option                   o    Simple and Multiple linear                     output & importance sampling
       Pricing                                              regression                                o    Martingale control variables
                                                            Model selection                           o    Stratification and the estimation of
      Statistical Arbitrage                           o
                                                            Residual analysis                              derivatives
                                                       o
                                                       o    Diagnostics                               o    Use of low discrepancy
                                                       o    Detection of multi-collinearity                sequences
DURATION :- 4-6 Months                                      nonstandard conditions and                     Pricing American options
                                                       o                                              o
                                                            transformations                                Scenario simulation for risk
                                                                                                      o    management
                                                            Principal components
                                                            Factor analysis                                General principles of arbitrage
                                                       o                                              o    pricing theory
                                                       o                                                   Statistical nature of the price
                                                                                                      o    Volatility fluctuations in financial
                                                                                                      o    markets
                                                  Financial Time Series Analysis.
                                                                                                 Statistical Arbitrage
                                                       o    Time series methodology
                                                       o    Data analytic aspects
                                                       o                                              o    General principles of arbitrage
                                                            Time domain and the
                                                            frequency domain approach                      pricing theory
                                                            Univariate ARIMA modelling                o    Statistical nature of the price
                                                       o    Forecasting & Seasonality                 o    Volatility fluctuations in financial
                                                       o    Model identification &                         markets
                                                       o    diagnostics                               o    Market Neutral strategies
                                                            Time series modelling of                  o    Statistical Techniques for pricing
                                                            equity returns                                 inefficiencies
                                                       o    Trading day effects                            Various statistical strategies
                                                                                                      o
                                                            Volatility estimations                         (including pairs trading,
                                                            Unit root phenomenon                           cointegration-based trading, data
                                                       o                                                   mining, as well as strategies using
                                                       o    GARCH and Stochastic
                                                            volatility modelling                           the information from derivatives
                                                       o                                                   markets)
                                                       o    Trend break analysis &
                                                                                                           How to search for arbitrage
                 Statistician                               Nonlinearity
                                                                                                      o    strategies (based on intra-day
                 and mathematician                                                                         patterns, long-term patterns, multi-
                                                       o                                                   equity relationships)
                                                                                                           Risk assessment
                                                                                                      o




          E-mail ID: - counselor@modrika.com                                                                       W WW .MO D R IK A.C O M

				
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posted:10/30/2012
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