The main objective of this seminar is to develop the skills needed to do work in the industry or research with financial data. The seminar will start with a semester of theoretical foundation in statistics and stochastic processes. In the second semester, the students will learn how to use R, and code the estimators theoretically derived in the first semester. In the second year, each student is expected to choose a project related to the field of financial econometrics, and to make a report and a final presentation to the class. In addition, the student is expected to discuss about the advancement of the project regularly during the year. The presentation can include theory, numerical simulations and/or data analysis.
Students must be very motivated and as strong as possible with theoretical statistics background as in Statistics I and II taught at Hiyoshi or the basics of probability theory (distribution, expectation, variance, Strong Law of Large Numbers, Central Limit Theorem), and also familiar with at least one programming language (such as R, Python, C/C++, etc.).
The evaluation will be based on several theoretical homework during the first semester (25% of the final grade), coding of the estimator during the second semester (25% of the final grade), the report at the end of the second year (25% of the final grade) and the final presentation (25% of the final grade). The report is expected to be typed in Latex, and should be around 15-20 page long. It should look as much as a reasearch paper as possible, with different sections and including a bibliography. The presentation will be 15 minute long, including 5 minutes for questions. Tentatively, this presentation will be held in a room on Keio campus (but it may also be conducted over Skype). You can use Overleaf where you can code directly online (and even share it with a friend). Also, you will have information for documentation and/or installing Latex at The Latex Project. There is no need to install Latex if you use Overleaf, so this is the simplest way to use it.
We will start the seminar with following the notes. Then, the seminar will follow the textbook Stochastic Calculus: An Introduction with Applications (from Gregory Lawler) book content (Ch 1-2).
Homework should be printed and not handwritten. Latex will be very appreciated, but not required. Any other typing language such as Word would work too. You can use Sharelatex where you can code directly online (and even share it with a friend). Also, you will have information for documentation and/or installing Latex at The Latex Project. Graded homework will be sent back by email to students, so that they can learn from their mistakes. As much as possible, I will also provide a detailed individual feedback in the email.
Students can choose by themselves a project in any aera closely related or not to volatility estimation. Note that this is my area of expertise (and also the title of this class), so of course I encourage students to choose a project related to volatility estimation. For those who do not have any background or any specific idea for their projects, I provide those two types of models to choose from: