Course Information MA 226

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Course Information

MA 373 : Statistical Analysis on Financial Data

Lectures will be from 2 - 2:55 pm in 1102 on Wednesday; Lab-class is allotted from 3:00 - 4:00 pm on Wednesday.

General Information

Instructors	: Dr. Arabin Kumar Dey (Jointly With Dr. N. Selvaraju)
Office	: E108
Office Hours	: By appointment.
Office Phone	: +91- 361- 258 - 2620
Email	: arabin@iitg.ernet.in

Course Text

P. Glasserman, Monte Carlo Methods in Financial Engineering, Springer, 2004
R. U. Seydel, Tools for Computational Finance, 4th Ed., Springer, 2009.

Course Content

Principles of Monte Carlo, generation of random numbers from a uniform distribution: linear congruential generators and its variations, inverse transform and acceptance-rejection methods of transformation of uniform deviates, simulation of univariate and multivariate normally distributed random variables: Box-Muller and Marsaglia methods, variance reduction techniques, generation of Brownian sample paths, quasi-Monte Carlo: Low discrepancy sequences.

Prerequisite: This course assumes knowledge of probability and random process.

Grading

Theory Exams (Average of two or more exams)	: 30%
Lab Assignments	: 10%
Mid-Semester Lab Examination	: 30%
End-Semester Lab Examination	: 30%
Total	: 100%

Lab assignments

Lab assignments will be assigned regularly and will be due in lab-class.

Please Note

The portion (of the syllabus) for the examinations will be announced then and there, and in general would cover up to the last lecture just before the examination. The end-semester examination will cover all topics.
Requests for make up examinations will NOT be entertained.