SYLLABUS - QUANTITATIVE ANALYSIS

A. Statistics
Descriptive Statistics, Covariance and Correlation, Hypothesis Testing, Confidence Intervals, Autocorrelation, Multicolinearity, Distributions, Central Limit Theorem

B. Econometrics
Linear Regression, Nonlinear Regression, Cointegration, Principle Component Analysis, Maximum Likelihood Estimation, ARMA, ARCH and GARCH, Cubic Splines, Linear Interpolation, Smoothing

C. Linear Algebra
Inversion, Determinants, Eigen Values

D. Probability
Conditional Probability, Random Processes, Bayesian Analysis

E. Optimization
Linear, Non Linear, Evolutionary

F. Calculus
Differentiation, Integration, Taylors Theorem

G. Stochastic Calculus
Brownian Motion, Martingales, Markov Property

H. Financial Applications
Time Value of Money, Duration and Convexity, CAPM and Beta, Ito's Lemma, Black Scholes, Binomial and Trinomial Tree Models, Greeks, Yield Curve Models, Extreme Value Estimators, Value at Risk, Switching Models, Stochastic Volatility Models, Monte Carlo Simulation, Abitrage Pricing Theory, Neural Network Models

I. Backtesting
Normalization, Single Instrument Testing, Filter System Testing, Multifactor System Testing, In Sample and Out of Sample Testing, Risk Adjusted Return Analysis