MMA702 Time series analysis
Time series play a key role in analytical finance and insurance, and in financial engineering. The course presents the basic models of time series such as linear time series, autoregressive type models, nonlinear time series, high-frequency models, continuous time models and multivariate time series, elements of statistical estimation as well as simulation of time series. This basic part of the course can also be interesting for students from other specialties than analytical finance and financial engineering. The examples used in the course are selected from time series applications economics, finance and insurance.