Quantitative Methods for Finance - FRM 665

This course presents a review of the mathematical models necessary to conduct research in finance and financial risk management and to use a variety of quantitative methods to analyze data and make decisions. It starts with an appraisal of some relevant mathematical and statistical concepts including probability (discrete, continuous, marginal, conditional, joint, etc.) and probability distribution (normal, binomial, Poisson, and exponential). Sampling and sampling distributions, confidence interval estimation, and hypothesis testing will be covered and applied to real finance cases. Then, regression analysis and statistical inferences together with the time series and forecasting analyses will be conducted. The ultimate objective of the course is to lead students to describe large complex data sets, run regression analyses, make quantitative forecasts, create optimization models, and run simulations.