Course Descriptions

Prerequisites: Level IV Statistics. Basic concepts in Probability and Statistics and matrix algebra; Correlation and Portfolio management; Simple linear regression and capital asset pricing model; Multiple linear regression and foreign exchange models, multi-factor pricing models, Nelson-Siegel yield curves, and some hedging strategies; Nonlinear regression models and asymmetric CAPM models, nonlinear interest rate models, and regime switching models; Nonparametric regression models and nonparametric interest rate models, nonparametric implied volatility models and automatic technical analysis; Regression with ultra-high dimensional data; Principle and factor analysis.

Contacts

General & Admission Inquiries:
fsrm@stat.rutgers.edu

Program Co-Directors & Academic Advisors:
Dr. Cun-Hui Zhang & Dr. Sijian Wang
fsrm_msds_director@stat.rutgers.edu

Corporate Relations:
Mohannad Aama
mohannad.aama@rutgers.edu