STAC70H - Statistics and Finance
The course will cover various concepts in probability and statistics
and discuss their application in the field of finance. The following topics
will be discussed.
- Returns
- Portfolio Theory, Regression and the Capital Asset Pricing Model
- Options Pricing
- Fixed Income Securities
- Value-At-Risk
Timetable
MO 9:00-10:00 IC320
WE 9:00-11:00 IC320
Announcements
Office Hours
Monday 11-1 and Wednesday 11-1 in IC498.
Evaluation
Four assignments worth a total of 50% and a final sit-down exam
worth 50%.
References
The main text is :
An Elementary Introduction to Mathematical Finance by S. Ross (published by Cambridge University Press)
I will assign readings and problems from the book as well as
presenting additional material.
Website
The course website is
http://www.utstat.utoronto.ca/mikevans/stac70/stac70.html
Schedule
- January 9: Returns (read the first 2 chapters of the text)
- January 11: