COURSE ANNOUNCEMENT
Department of Statistics
Autumn Quarter 2003

Statistics 33800
Statistical Inference for Financial Data

Per Mykland

TUTH
Eckhart 117
3:00-4:20 P

Financial data is commonly modeled by diffusion, jump-diffusion, and related models, and it is usually supposed that observation is discrete. The course is concerned with inference in such settings. We shall be reading papers, and also get some of the mathematical background from the texts. We shall not focus so much on the financial application, but rather the econometrics of these data.

The format is a mixture of lectures and student presentations.

The course is primarily intended for second year graduate students in Statistics, and also students with similar background in Econometrics or Finance. It is recommended, but not absolutely required, that students have taken Stat 30400-30100-30200 and either Stat 31200-31300 or Stat 38100-38300. Equivalent courses are also OK. If you have not taken Stat 381, we recommend that you take it concurrently. If you have never taken a finance course, you may consider taking one concurrently (whether in the GSB, Economics, or Statistics), though this is not required.

Prerequisites:
Consent of instructor.

Texts:
Martingale Central Limit Theory and its Application, by P. Hall and C.C. Heyde (required)

Stochastic Calculus and Financial Applications, by J. Michael Steele (recommended)

Limit Theory for Stochastic Processes, by J. Jacod and A.N. Shiryaev (recommended, for the truly dedicated)