CO2080 Financial Markets
Course Structure Lessons - Mercado de Valores Objectives In this course of introductory level in finance, the student will be able to...
FZ3031 Risk Management and Regulations
Course Structure Lesson 1 - Introduction to Market Risk Measurement Lesson 2 - Sources of Market Risk Objectives In this course of...
FZ3006 Financial Programming
Course Structure Lesson 1 - Introduction to Programming with MATLAB Lesson 2 - Trading Mechanisms Lesson 3 - Backtesting and Automated...
FZ2017 Fixed-Income and Structured Products
Course Structure Lesson 1 - A Primer on Bond Basics Lesson 2 - An Introduction to Securitisation Lesson 3 - The Yield Curve Objectives...
EC2003 Financial Econometrics I
Course Structure Lesson 1 - Introduction to Econometrics of Financial Markets Lesson 2 - The Predictability of Asset Returns Lesson 3 -...
Multivariate Elliptical Truncated Moments (Journal of Multivariate Analysis - Vol 157, pp.29-44)
Abstract In this study, we derive analytic expressions for the elliptical truncated moment generating function (MGF), the zeroth-,...
A Moment-based Analytic Approximation of the Risk-Neutral Density of American Options (AMF - Vol 23)
Abstract The price of a European option can be computed as the expected value of the payoff function under the risk-neutral measure. For ...
The profitability of moving average trading rules in BRICS and emerging stock markets
Abstract Technical analysis and trading systems have been widely used by practitioners in financial markets. Since some academic studies...
Validation of default probability models: A stress testing approach (Int. Rev. Fin. Ana. - Vol 47)
Abstract This study aims to evaluate the techniques used for the validation of default probability (DP) models. By generating simulated...
Monte Carlo Approximate Tensor Moment Simulations (Numerical Linear Algebra with Applications - Vol
Abstract An algorithm to generate samples with approximate first-order, second-order, third-order, and fourth-ordermoments is presented...