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1、金程教育FRM精品班讲义QuantitativeAnalysis讲师：程黄维FRM日期：2009年7月地点：■上海□北京□深圳QuantitativeAnalysis:OutlineQuantitativeAnalysis–10%Mean, Variance,Standard Deviation, Correlation,Skewness, KurtosisProbabilityandProbability DistributionsEstimating Parameters of DistributionsStatistical Inference,Hypothesis T
2、estingLinear RegressionEstimatingVolatilityand CorrelationEWMA, GARCH ModelsMaximum Likelihood MethodsMonteCarloSimulation MethodsExtremeValueTheory2ReadingsforQuantitativeAnalysis8.Damodar N Gujarati, Essentials of Econometrics, 3rd Edition (New York: McGraw‐Hill, 2006).Chapter 2 –Review
3、of Statistics: Probability and Probability DistributionsChapter 3 – Characteristics of Probability DistributionsChapter 4 – Some Important Probability DistributionsChapter 5 –Statistical Inference: Estimation and Hypothesis TestingChapter 6 –Basic Ideas of Linear Regression: The Two–Variabl
4、e ModelChapter 7 – The Two–Variable Model: Hypothesis TestingChapter 8 – Multiple Regression: Estimation and Hypothesis Testing3ReadingsforQuantitativeAnalysis9.Philippe Jorion, Value–at–Risk, 3rd EditionChapter 12–Monte Carlo Methods10.John Hull, Options, Futures, and Other Derivatives, 7t
5、h Edition (New York: Prentice Hall, 2009).Chapter 21– Estimating Volatilities and Correlations4Chapter 2–Review of Statistics: Probability and Probability DistributionsChapter 3–Characteristics of Probability DistributionsChapter 4–Some Important Probability DistributionsChapter 5–Statistic
6、al Inference: Estimation and Hypothesis TestingChapter 6–Basic Ideas of Linear Regression: The Two–Variable ModelChapter 7–The Two–Variable Model: Hypothesis TestingChapter 8–Multiple Regression: Estimation and Hypothesis TestingChapter 12–Monte Carlo MethodsChapter 21–Estimating Volatiliti
7、es and CorrelationsFRMQuantitativeOutline5Review of Statistics: Probability and Probability DistributionsSomeNotationTheSummationNotationPropertiesoftheSummationOperator6Review of Statistics: Probability and Probability DistributionsExperiment,SampleSp
