Serge Darolles

Quantitative Analyst & Adjunct Professor , Lyxor Managed Account Platform (MAP) & Université Paris - Dauphine

Econométrie de la Finance II

Les objectifs du cours

The last ten years have seen an extraordinary growth in the use of quantitative methods in financial markets. Professionals now use sophisticated statistical techniques in portfolio management, proprietary trading, derivative pricing, risk management and securities regulation. The purpose of the course is to offer an overview of mostly used econometrics tools and the way these methodologies can be used in empirical finance, both in investment banking and asset management. A strong emphasis is placed on practical applications, with a strong relation with the topics treaded during the Matlab class.

Plan du cours

1 / An Overview of Financial Data: Stylized facts of returns distributions

Prices, Returns and Time Aggregation
Portfolio Returns and Spatial Aggregation
Parameter Estimation - MATLAB
Market Efficiency and The Random Walk Hypotheses
Tests of the Random Walk Hypotheses

2 / Econometrics of the Efficient Frontier

Theoretical Background
Traditional Econometric Approaches - MATLAB
Alternative Econometric Approaches

3 / Capital Asset Pricing Model

Review of the CAPM
Statistical Framework for Estimation and Testing
Nonnormal and Non-IID Returns
Implementation of Tests - MATLAB
Cross-Sectional Regressions

4 / Multifactor Pricing Models

Theoretical Background
Estimation and Testing, SURE Regression
Risk Premia and Expected Returns
Selection of Factors - MATLAB
Deviations from Exact Factor Pricing and Arbitrage

5 / Econometrics of Derivative Pricing Models

Brief Review of Derivative Pricing Methods
Parameter Estimation of Asset Price Dynamics
Estimating s in the Black-Scholes Model
Quantifying the Precision of Option Price Estimators
Implied Volatility Estimators - MATLAB
Stochastic Volatility Models

Bibliographie

Brandt, M. (2009), Portfolio Choice Problems, in Handbook of Financial Econometrics, Y. Ait-Sahalia & L.P. Hansen, Eds, North Holland.

Campbell J., Lo A., McKinley, A. (1997), The Econometrics of Financial Markets. NJ: Princeton University Press.

Garcia, R., Ghysels, E. & Renault, E. (2009). Econometrics of Option Pricing Models, in Handbook of Financial Econometrics, Y. Ait-Sahalia & L.P. Hansen, Eds, North Holland.

Gourieroux, C., Scaillet, O., Szafarz, A (1997), Econométrie de la Finance, Economica.

Lo A. (2008), Hedge Funds: An Analytic Perspective. Princeton, NJ: Princeton University Press.

Examen