COURSE TITLE: QUANTITATIVE ANALYSIS OF FINANCIAL DATA
Course Code: MTRM6040
This is a course in quantitative risk management and financial econometrics. In this course focus will be on the statistical modelling of financial time series (asset prices and returns) with an emphasis on modelling volatility and correlation for quantitative risk management. This course discusses the various approaches to analyze and model financial data with real and simulated data via the computer package R (or other programming language).
The aims of the course are to introduce state-of-the-art techniques for modelling financial time series and managing financial risk and to use the open source R statistical software (or other software) to provide hands-on experience with real world data.