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Time series and financial series


At the end of this module, the student will have understood and be able to explain (main concepts) :
Fitting additive or Autoregressive moving average model (ARMA) to time series
Finance market Cox-Ross-Rubinstein model
Hedging and derivatives
Portfolio risks
The student will be able to:
- perform statistical analysis and model time series
- compute primes and strategies for simple derivatives
- perform methods for managing portfolio risks

Needed prerequisite

Probability and Statistics
Further lectures in probability
Martingales and Monte-Carlo Methods (Martingales part)

Form of assessment

The evaluation of outcome prior learning is made as a continuous training during the semester. According ot the teaching, the assessment will be different: as a written exam, an oral exam, a record, a written report, peers review...