CSI 779 / STAT 789

Topics in Computational Statistics:

Statistical Modeling of Financial Data

Fall, 2006

Mondays 4:30 to 7:10.

207 Innovation Hall

Instructor: James Gentle; email: jgentle@gmu.edu

Text: Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance, by Domingo Tavella (2002).
The general flow of the course follows this text, but we will skip around alot, especially in the coverage of Chapter 2, which we will spread over several weeks, while introducing other topics.

This is not a distance-learning class. I spend a lot of time developing notes that I will post on the web, but it is not to be assumed that these posted notes cover everything covered in the class.