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CE_19C Mon, 8/8/2022, 8:30 AM - 5:00 PM CC-145B
Statistical Methods in Finance with R — Professional Development Continuing Education Course
The course is intended for an audience trained in statistics who are interested in getting into quantitative finance. Starting with basic description of financial data, several applications are covered. These include asset pricing, option pricing, credit scoring and risk management. The methods are illustrated with data from real markets. Codes are provided in R to execute the methods. The course has a broad coverage as well as mathematical rigor. References to related work is provided to aid the reader to pursue areas of specific interest in further detail. Pre-requisites: Training in statistics and probability including basic descriptive and inferential statistics, regression, multivariate analysis, time-series analysis and stochastic processes. Basics of statistical learning are desirable. Students should be comfortable with R programming. No prior exposure to finance is required.
Instructor(s): Rituparna Sen, Indian Statistical Institute; Sourish Das, Chennai Mathematical Institute