Indian Institute of Technology Guwahati

Proposal for a New Course

Course Number & Title: BM606H – Statistical and Data Analysis for Financial Engineering
L-T-P-C: 4-0-0-4
Course Content / Syllabus:

Returns, random walk model; Fixed income securities, coupons, yield-to-maturity, term structure; Quantiles, order statistics, distributions, moments, heavy tailed distributions; Resampling and multivariate statistical models, Regression, least-square regression, multiple linear regression in finance; Time series models, AR(1), ARMA (Autoregressive Moving Average), ARIMA (Autoregressive Integrated Moving Average); ARCH (Autoregressive Conditional Heteroskedasticity) and GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models, Portfolio models, CAPM (Capital Asset Pricing Model), Principal Component Analysis, factor models; Risk management, estimating Value-at-Risk and expected shortfall.

Books
References