Course Name: Modeling Financial Markets
Course Instructor: Dr. Vishwanathan Iyer
Affiliation: T. A. Pai Management Institute
Duration: 29 Sep 2015 - 2 Oct 2015
Summary: A mini course on Time Series Econometrics is arranged in the mathematics department of IISER-P. This is a branch of computational Finance. The course name is "Modeling Financial Markets". This course has 6 sessions each of 90 minutes starting from 29th September. The first sessions is arranged in Seminar room 41, 3rd floor, Main building. There would be lab sessions, so participants are expected to bring their laptops. All are welcome.
Brief profile of instructor: Dr. Vishwanathan Iyer is an Associate Professor in the area of Accounting, Economics and Finance and currently the Chairman – Admission at T.A Pai Management Institute (TAPMI). He has an overall experience of 14 years of teaching and research and 2.5 years of professional practice. Prior to joining TAPMI, he was the Chairperson, PGP at IMT Hyderabad.
His areas of teaching include Financial Econometrics, Quantitative Asset Management, Corporate Finance and Accounting. His research interests are Risk Management, Asset Pricing, Portfolio Optimization and Business Groups, while his training interests are in the area of Finance for Non-Finance professionals, Financial Modeling with spreadsheets and Time series modeling. He was a Visiting Scholar at the McCallum Graduate School of Business, Bentley University, Boston. He is an Associate Member of the Institute of Chartered Accountants of India. He holds a Masters Degree in Commerce and a PhD in the area of Finance.
Instructions
Please carry your laptops for all sessions.
Required data sets and papers would be made available for each session
These sessions assume basic understanding of Classical Linear Regression Models (CLRM).
The instructor would be available for discussion during the office hours at A-405, 3rd floor, Main building.
Reference
Introductory Econometrics for Finance by Chris Brooks (Cambridge University Press)
Applied Econometric Time Series by Walter Enders (Wiley)
Quantitative Portfolio Optimization, Asset Allocation and Risk Management by Mikkel Rasmussen (Palgrave Macmillan)
DETAILED SESSION PLAN: