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Quantitative and Mathematical Finance

Quantitative and Mathematical Finance
Typ: Seminar
Lehrstuhl: Lehrstuhl für Ökonometrie und Statistik
Zeit:

Blockveranstaltung, Ort und Zeit werden noch bekanntgegeben.

Dozent:

Nazemi

SWS: 2
LVNr.: 2520363

Inhalt:

• Networks in finance
• Financial Network and Contagion
• Systemic Risk Measurement
• Credit Scoring using Social Network Data
• Quantitative Models in Basel III
• Data Mining in Finance
• Tempered Stable Distribution in Finance
• Levy Processes

Literatur:

• Allen, F., Babus, A., (2009). Networks in finance. In: Kleindorfer, P., Wind, J. (Eds.), Network-based Strategies and Competencies. Wharton School Publishing, Upper Saddle River, NJ, pp. 367–382.
• Jackson, M. O., (2010). Social and Economic Networks, Princeton University Press.
• Rachev S. T., Mittnik S., Fabozzi, F., Foccardi, S., Jasic, T., (2007). Financial Econometrics, John Wiley, Finance.
• Tan, P. N., M. Steinbach, and V. Kumar, (2006). Introduction to Data Mining. Addison Wesley.
• Ruppert, D., (2011). Statistics and Data Analysis for Financial Engineering, Springer-Verlag.
• Thomas, L. C. (2009). Consumer Credit Models. Oxford, UK: Oxford University Press.
• Van Gestel, T. and B. Baesens, (2009). Credit Risk Management. Oxford, UK: Oxford University Press.