Бакалавриат 2025/2026

Количественные методы в финансах

Статус: Курс по выбору (Международная программа по экономике и финансам)

Кто читает: Международный институт экономики и финансов

Когда читается: 4-й курс, 1-4 модуль

Охват аудитории: для своего кампуса

Преподаватели: Спиридонов Игорь Александрович

Язык: английский

Course Syllabus

Abstract

The course provides coverage of important topics in modern Quantitative Finance and Risk Management at the advanced undergraduate level. Itis intended for the 4th-year undergraduate students of the International College of Economics and Finance, High School of Economics, Moscow. Particular attention is given to the topics such as the Efficient Market Hypothesis, financial markets microstructure and types of arbitrage, general principles of modelling the price dynamics of financial assets, market risk and other types of financial risks, Value-at-Risk (VaR) approach and applications, modelling of extreme market events, VaR analysis for financial derivatives using the Kolmogorov equations framework, modelling of periodic and quasiperiodic trends in time series in connection with technical analysis, and the foundations of high frequency arbitrage trading. The topics covered in this course will enable the students to develop the theoretical knowledge and practical skills required for successful working with multiple types of risks in modern financial markets, both Russian and international. The course is taught in English. Prerequisites for the course areElements of Econometrics and Microeconomics. Good command of methods of calculus, general probability theory and mathematical statistics are also required for the course.