Brief Course Description
1. Course Title:
Research Topics on Capital markets and Financial modeling
2. Language of Instruction:
Tiếng Anh
3. Course Code:
FIN608
4. Credits:
2
5. Course Objectives:
Gain understanding of Capital Markets institutions, products, and recent market developments.
Learn the tools necessary to make investment decisions.
Master the underlying theory and mechanics behind the most common strategies.
Apply the basic elements of econometric modelling and forecasting.
Define business problems and analyse using appropriate quantitative techniques.
6. Brief Description of Course Content:
This course will provide you with a thorough understanding of Capital Markets institutions, products, and recent market developments. It will also teach financial econometrics with emphasis on estimation and forecasting of time series models in finance. Learners will learn how to measure and forecast financial volatility and correlations and become proficient with GARCH type models and historical volatilities. These methods will be used to measure risk and analyze alternative approaches to calculating Value at Risk, dynamic portfolio selection and risk control. The course will also examine implied volatilities from options, variance swaps, credit risk models, market (in)efficiency, dynamic relationships between global financial markets and high frequency volatility. The course will teach estimation, Monte Carlo simulations and programming methods.