- This is a core module for the MSc in Mathematical Finance.
- Not available to undergraduate students.
- Lectures: 20 hours.
- Laboratory sessions: 6 hours.
- Seminars: 9 hours.
Part 1: GMM for Financial Time Series
- Conditional Moment Restrictions and Optimal Instruments
- Application to GARCH-type Models
- Application to Stochastic Discount Factor Models
- Inference in Misspecified Models
Part 2: Non-Linear State Space Models
- Stochastic Volatility
- Indirect Inference
Part 3: Continuous Time Models
- High-Frequency Asymptotics
- Maximum Likelihooh
- Option Price Data
- Examination (60%)
- Class test (20%)
- Group project (20%)
John Y. Campbell: Financial Decisions and Markets, Princeton University Press.
John Y. Campbell, Andrew W. Lo and A. Craig MacKinlay: The Econometrics of Financial Markets, Princeton University Press. - John H. Cochrane: Asset Pricing, Princeton University Press.
Christian Gourieroux and Joann Jasiak: Financial Econometrics, Princeton University Press.
James D. Hamilton: Time Series Analysis, Princeton University Press.
Alexander J. McNeil, Rudiger Frey and Paul Embrechts: Quantitative Risk Management, Princeton University Press.
Stephen J. Taylor: Asset Price Dynamics, Volatility and Prediction, Princeton University Press.
Examination Period: April