Le 27 juin 2017 à 13:18:52 killagg a écrit :
parmi ces 3 cours, si vous deviez en choisir 2, lesquels seraient les plus intéressants ?
Financial econometrics
1. Introduction: Describing financial time series
2. Overview of estimation techniques and applications
• Ordinary least squares, maximum likelihood and generalized method of moments, pseudo likelihood estimator. • Applications : CAPM, factor models, predictive regressions.
3. An introduction to financial time series analysis: • Stationarity/non stationarity
• Characterization of time series
• Class of ARIMA(p,d,q) processes
4. Multivariate time series analysis
• Vectorial autoregressive models (VAR) • Cointegration and VECM
• Statistical arbitrage
5. Modeling volatility
• Measuring volatility
• ARCH models
• GARCH models and extensions
6. Multivariate GARCH models and Dynamic (conditional) correlation models 7. Forecasting volatility
8. Risk management
Investments :
"Topics include portfolio selection, equilibrium asset pricing, arbitrage pricing, market efficiency, behavioral finance, tests of asset pricing models, trading strategies in equity, fixed income, foreign exchange, and commodity markets, as well as dynamic asset allocation.
The course is rigorous, and students are expected to be able to understand and apply quantitative methods. Examples will illustrate real-world applications of the theory."
Numerical approximation of PDE's
"Linear elliptic problems: weak form, well-posedness, Galerkin approximation
• Finite element approximation in two and three dimensions: stability, convergence, a-priori error estimates in different norms, implementation aspects
• Mixed problems: weak formulation, well-posedness, inf-sup condition. Compatible finite element approximations, convergence analysis
• Applications to incompressible elasticity, Stokes flows, Darcy equations'
Tu peux apprendre a investir par toi meme, ne perd pas un cours pour ce genre de contenu.