UI Wordmark

IE 522 A - Statistical Methods in Finance

Campus: Urbana-Champaign

Description:

Methods of statistical modeling of signals and systems with an emphasis on finance applications. Review of linear algebra, probability theory, and spectral analysis; Linear Time Invariant (LTI) and ARX models; least-squares, maximum-likelihood, non-parametric, and frequency-domain methods; convergence, consistency and identifiability of linear models; asymptotic distribution of parameter estimates; techniques of model validation; Principle Component Analysis (PCA) for dimension reduction; ARCH and GARCH processes and their related models; implementation, application, and case-studies of recursive identification; Monte Carlo simulation. Course Information: Credit is not given for both IE 522 and GE 524. Prerequisite: MATH 415.

Academic Program Restrictions:

MS: Financial Engineering

Option 1

Number of Required Visit(s): 0

Course Level: Graduate

Credit: 4

Term(s): Fall


Home

Bachelor's Degree

Master's Degree

Doctoral Degree

Certificates

Continuing Education

Search Programs

Search Courses

FAQ

Contact Us


University of Illinois Online
Phone: (866) 633-8465 - Join Us  Facebook
© Copyright 2015 - University of Illinois

Cookie Settings