4702-syllabus

4702-syllabus - Columbia University Department of IEOR...

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Columbia University Department of IEOR Statistical Inference for Financial Engineering E4702, Summer 2010 TR 3pm-5:30pm, 633 Mudd Columbia Course Work Web Page Prof. Steven Kou 312 Mudd Building [email protected] Tel: 212-854-4334 Professor’s O ce Hours: TR 1:30pm-3pm TA: TBA TA e-mail: TBA TA O ce Hours: TBA Textbooks : None. Lecture notes will be distributed. Prerequisites : Probability at the level of IEOR E4105. Approximate Schedule Topics 1. Aug 3 Random Sample and Selection Bias in Finance, Estimation and Con f dence Interval 2. Aug 5 MLE, Estimation for Geometric Brownian Motion Model, the Delta Method 3. Aug 10 Application to Linear Regression 4. Aug 12 Thursday, 3pm-5:30pm, Midterm Exam 5. Aug 17 Hypothesis Testing, Application for Geometric Brownian Motion Model 6. Aug 19 Goodness of Fit Tests 7. Aug 24 Bayesian Statistics 8. Aug 27 Friday, 11am -1:30pm Final Exam Course Requirements and Grades The f nal grade will be generated from following components: HWK: 15%, Midterm 40%, Final 45%
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This note was uploaded on 10/18/2010 for the course IEOR 4702 taught by Professor Kou during the Spring '10 term at Columbia.

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4702-syllabus - Columbia University Department of IEOR...

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