Dates and Locations

03/04 Jul

London, UK

London Chamber of Commerce >>

Course Outline: Quantitative Finance - Modeling and Forecasting in Financial Markets

A. Course Description
This training course is designed to give students an overview of financial modeling and forecasting for trading systems. The topics include analysis of non-linear time series models, including AREMA, GARCH, and EGARCH, and simulation. Also covered are ordinary least squares, maximum likelihood, and generalized method of moments. Particular attention is placed on the properties of various estimators when model assumptions do not hold. This course also reviews Bayesian decision theory and its applications will be discussed. Emphasis will be placed on application to financial models and the development of trading systems.

B. Method of Instruction
This course consists of two, seven hour days of lecture and classroom discussion, including sample text questions. All course materials will be provided by the instructor

C. Course Outline

DAY 1
- Regression analysis, Cholesky decomposition, ANOVA

- Simulation modeling

- Time series analysis

- Econometrics

DAY 2
- Bayesian inference

- Fixed income mathematics and models

- Options mathematics and models

- Sample test questions