Substantive and empirical modeling approaches in options, interest rate, and credit markets. Nonlinear least squares, logistic regression and generalized linear models. Nonparametric regression and model selection. Multivariate time series modeling and forecasting. Vector autoregressive models and co-integration. Risk measures, models and analytics.
Prerequisite or co-requisite: STATS 240 or equivalent.
241 and 241P are crosslisted. 241P is for SCPD students only.