Statistical Modelling in Finance
(Theory and Computing courses)
Summer School

Responsable: Dominique Guégan/ Christophe Chorro

This summer school is composed by several  lectures:

- Theoretical  lectures on "statistical modeling in finance" given by Dominique Guégan   (50 h).
- Monte Carlo simulations, courses given by Christophe Chorro (16h)
- Introduction to language R, courses given by  (16h)
- Introduction to VBA language, courses given by Chafic Mehry (16h).

We give below the contents of the theoretical courses and the timetable

I - Contents  of the lectures  "Statistical Modeling in Finance"


A  - Probability distributions in finance

Generalized hyperbolic distributions
Extreme value distributions
Convergences
Monte Carlo simulations

B  - Statistical inference

Statistical models and information set
Estimation theory for independent variables
Estimation theory for dependent variables

C  - Statistical models for returns

Introduction to stochastic processes
The random walk
ARMA processes

D  - Related GARCH modelling

Introduction to heteroscedastic models
GARH models
Extended GARCH models

E - Complements on statistical  inference

Tests for models
Non-parametric estimation

F - Introduction to pricing theory

Arbitrage theory
The different measures: historical- subjective - risk neutral.

EXAM (for students applying to MMMEF Formation):  the exam will be a project with an oral presentation

II - Contents  of the lectures on "Monte Carlo simulations"

Course Objective: This course constitutes an introduction to Monte Carlo Methods especially for finance.

 

Required Texts and References: The slides are availlable here.

 

Course Content

 

- Reminder on probability theory

- Random number generators

- Simulation of random variables

- Variance reduction techniques

- Around the Black-Scholes model

 

Evaluation: Project

III - Contents  of the lectures on "Introduction to language R"


Présentation:   This course is linked to the course of Statististical Methods in Finance. It introduces the R language, then through financial data sets, it permits to illustrate the different steps of the course of statistical Methods in Finance

 
Books :                 Documents will be provided to students

Evaluation: Project

IV - Contents  of the lectures on "Introduction to VBA language"

Presentation: This course is an introduction to VBA language. The objective of the course is to propose a method to create a pricer.

 
Books :                 Documents will be provided to students
   
Evaluation :           Project

TIMETABLE

Theoretical courses: Statistical Modeling in Finance (D. Guégan)

Room 17

Tuesday 29 May:            4:00 p.m. - 7:00p.m

Wednesday 30 May        4:00 p.m. - 7:00p.m

Thrusday 31 May              4:00 p.m. - 7:00p.m

Monday 4tht June:          4: 00 p.m. -  7:00 p.m.

Wednesday 6th June:    4: 00 p.m. - 7:00 p.m.

Friday 8th June:                4: 00 p.m.  - 7:00 p.m.

Monday 11th June:         4: 00 p.m.  - 7:00 p.m.

Tuesday 12th June:         4: 00 p.m.  - 7:00 p.m.

Thursday 14th June:       4: 00 p.m.  - 7:00 p.m.

Monday 18th June:         4: 00 p.m. - 8:00 p.m.

Tuesday 19th June:         4: 00 p.m.  - 8:00 p.m.

Wednesday 20th June:  4: 00 p.m. -  8:00 p.m.

Friday 29th June:              4: 00 p.m.  - 8:00 p.m.

Monday 9th July:             11: 00 a.m.  - 6:00 p.m.

Theoretical Courses: Monte Carlo Simulations (C. Chorro)

Room S3

- Wednesday 13, 20 June 9 :00 am – 1:00 p.m
- Thursday 14, 21 June 9 :00 am – 1:00 p.m

An introduction to VBA (C. Mehry)

Room B3-2

Saturday 2, 9, 16, 23 June 8:30 a.m 12:00 p.m/ 13:00 p.m 17 pm

An introduction to R language (….)

Room B3-2

Tuesday 5 June 2:00 p.m 6:00 p.m
Friday 15 june 2:00 p.m 6:00 p.m
Friday 22 june 2:00 p.m 6:00 p.m
Thursday 28 2:00 p.m 6:00 p.m

EXAM  Monday 9th July