Statistics of Finance data; Quantitative finance; Forecasting
This course gives an introduction to the basic concepts of option pricing and its probabilistic foundations. Next, stochastic processes in discrete time are presented and the Wiener process is introduced. Itô's Lemma is derived and the Black- Scholes (BS) Option model is presented leading to the analytic solution for the BS Option price. Numerical solutions via binomial or trinomial tree constructions are discussed in detail. SFM is continued with Interest Rate Dynamics, valuation of options in spot rate dynamic models, like CIR or the HJM framework. A credit risk portfolio with the discussion of CDOs is finally presented.
Requirements: Multivariate Statistical Analysis (MVA) (or prove equivalent knowledge)
Statistics of Financial Markets (Franke, Härdle, Hafner), 2019, 5th ed. Springer.
Statistics of Financial Markets (Borak, Härdle, Lopez Cabrera), 2013, 2nd ed. Springer.
Wolfgang Karl HÄRDLE attained his Dr. rer. nat. in Mathematics at Universität Heidelberg in 1982 and in 1988 his habilitation at Universität Bonn. He is Ladislaus von Bortkiewicz Professor of Statistics at Humboldt-Universität zu Berlin and the director of the Sino German Graduate School (洪堡大学 + 厦门大学) IRTG1792 on “High dimensional non stationary time series analysis”. He also serves as head of the joint BRC blockchain-research-center.com (with U Zürich). He is guest professor at WISE, Xiamen U, SMU, Singapore, NYCU, Hsinchu TW, Charles U, Prague CZ.
His research focuses on data sciences, dimension reduction and quantitative finance. He has published over 30 books and more than 300 papers in top statistical, econometrics and finance journals. He is highly ranked and cited on Google Scholar, REPEC and SSRN. He has professional experience in financial engineering, SMART (Specific, Measurable, Achievable, Relevant, Timely) data analytics, machine learning and cryptocurrency markets. He has created the www.quantlet.com platform, a financial risk meter, FRM hu.berlin/frm, a cryptocurrency index, CRIX www.royalton-crix.com and organises regularly blockchainnights.com . He is 玉山学者 （Yushan Scholar), web page hu.berlin/wkh