1. Objectives
(1) To illustrate how econometric analysis can be applied to learn about the price behavior of financial assets, from the historical asset prices and from the prices of derivatives securities.
(2) To provide learners with practical experience of analyzing market prices.
2. Learning outcomes
After completing the course, students could:
(1) Understand the important features of time series of market prices,
(2) Be familiar with appropriate methods for modeling and forecasting prices and volatility,
(3) Be able to use option prices to make statements about the distributions of future asset prices,
(4) Have acquired experience of applying computational methods, Excel, Matlab, RATS, …etc. to market data.
(5) Understand the triangular relationships among the risk-neutral density, the real-world density and scaled marginal utility.
Text Book
1. Stephen J. Taylor, 2005, Asset Price Dynamics, Volatility, and Prediction, Princeton University Press. (科大網路書局代理).
The text is a theoretical and empirical text covers main topics about equity and currency markets in real and risk-neutral worlds.