Markov Switching Models and their Applications in Finance (2V, 4.5 LP)
|SWS||Type||Course Form||CP (Effort)||Presence-Time / Self-Study|
|2||V||Lecture||4.5 CP||28 h||107 h|
|(2V)||4.5 CP||28 h||107 h|
The lecture offer for the specialization module planned for the following three semesters will be made available on the website of the master's programme "Actuarial and Financial Mathematics".
- Discrete-time and continuous-time Markov chains,
- Hidden Markov models in discrete time,
- Continuous time Markov switching models,
- Parameter estimation and filtering,
- Modelling financial asset prices,
- Econometric properties of financial time series and model extensions,
- Applications to portfolio optimization.
Competencies / intended learning achievements
O. Cappé, E. Moulines, T. Rydén: Inferences in Hidden Mrkov Models,
R.J. Elliott, L. Aggoun, J.B. Moore: Hidden Markov Models – Estimation and Control,
S. Frühwirth-Schnatter: Finite Mixture and Markov Switching Models,
J.R. Norris: Markov Chains,
R.S. Tsay: Analysis of Financial Time Series.
Requirements for attendance (informal)
- [MAT-10-1-M-2] Fundamentals of Mathematics (M, 28.0 LP)
- [MAT-14-14-M-3] Stochastic Methods (M, 9.0 LP)