Statistical Models in Finance

4 units · Undergraduate upper division (100-199)

Lecture, three hours. Requisite: course 100B. Designed for juniors/seniors and graduate students. Statistical techniques in investment theory using real market data. Portfolio management, risk diversification, efficient frontier, single index model, capital asset pricing model (CAPM), beta of a stock, European and American options (Black/Scholes model, binomial model). Concurrently scheduled with course C283. P/NP or letter grading.