آمار و ریاضیات مالی

سالنما

27 مهر 1400

2021 Oct 19

13 ربیع الاول 1443

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آمار بازدید

بازدید امروز	12
بازدید دیروز	661
بازدید این ماه	18836
بازدید کل	1791376

‏صفحه نخست‏

‏ منو‏

‏آموزش‏

‏تحصیلات تکمیلی و عالی‏

‏مدیریت مالی‏

‏آمار و ریاضیات مالی‏

عنوان درس : آمار و رياضيات مالي

دوره مربوطه : MBA- مديريت مالي

تعداد واحد : 2.0

نوع درس:

گروه درس:

پیش‌نیاز:

محتوای دوره

هدف

This course provides students with statistical and quantities methods in investment analysis.

This Course consists of eight 4 hour sessions.

سرفصل مطالب

Session Topic

The time value of money

1. The interest rates and discount rates

2. The frequency of compounding

3. Stetted and effective rates

4. The future value of a series of cash flows

5. The present value of a series of cash flows

6. Annuity

7. Equivalence and additively of cash flows

Discounted cash flow applications

1. The net preset value rule

2. The internal rate of return rule

3. Yields

4. Basic bond valuation

5. Basic equity valuation

6. Portfolio return measurement

Statistical Concepts and Market Returns

1. The nature of statistics

2. Frequency distributions

3. Graphic Presentations

4. Measures of central tendency

5. Measures of dispersion and their applications

6. Symmetry and skewness in return distributions

7. Kurtosis in return distributions

8. Geometric and arithmetic means

Common Probability Distribution

1. Discrete uniform distribution

2. The binomial distribution

3. Continuous uniform distribution

4. The normal distribution

5. Applications of normal distribution

6. The Lognormal distribution

7. Monte Carlo simulation

Probability Concepts: Portfolio Expected Return and Variance

1. Probability, expected value and variance

2. Portfolio expected return and variance

Sampling and Estimation

1. Simple random sampling

2. Stratified random sampling

3. Time-series and cross-sectional data

4. The central limit theorem

5. Point estimators

6. Confidence interval for the population mean

7. Data-snooping and data mining

8. Sample selection bias

9. Look-Ahead bias

10.Time-Period bias

Hypothesis Testing

1. Tests concerning a single mean

2. Tests concerning difference between means

3. Tests concerning mean differences

4. Tests concerning a single variance

5. Tests concerning difference between variances

6. Other issues in inference

7 Correlation and regression

Correlation analysis

1. Scatter plots

2. Correlation analysis

3. Calculating and interpreting the correlation coefficient

4. Uses and limitation of correlation analysis

5. Testing the significance of the correlation coefficient

Linear regression

1. Linear regression with one independent variable

2. The assumptions of the linear regression model

3. The standard error of estimate

4. The coefficient of determination

8 Regression analysis

Linear regression

1. Confidence intervals and testing hypothesis

2. Analysis of variance in a regression with one independent variable

3. Prediction intervals

4. Limitation of regression Analysis

Multiple regression

1. Assumptions of the multiple linear regression model

2. The standard error of estimate

3. Predicting the dependent variable

4. Testing whether all population regression coefficients are equal to zero

5. The R² and statistical significance

منابع و مراجع

Quantitative methods for investment analysis; Defudco, MaLeavey, Pinto and Runkle, CFA Institute,

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