Teaching
Courses
Quantitative Risk Management (Master of Financial Mathematics)
The course covers a wide range of topics in risk measurement, risk management, different types of financial risks, loss functions, Basel pillars, evaluating VaR and ES, multivariate models, elliptical distributions, normal mixture distribution, dimension reduction techniques, stylized facts of financial time series, volatility models and risk estimation, GARCH process, volatility forecasting, copulas, dependence measures, fitting copulas to data, and EVT theory.
Quantitative Trading and Market Microstructure (Master of Financial Mathematics)
The course covers a wide range of topics in market microstructure and quantitative trading. The course has three parts: (i) institution; (ii) financial time series, and; (iii) asset allocation. The covered topics are liquidity, price discovery, limit order book, dealer market, hybrid market, market transparency, evolution of market structure, measuring liquidity, order flow, trade size and market depth, estimating the determinants of market illiquidity, market design and regulation, AR, MA, ARMA, ARCH and GARCH processes, E-V maxim, risk, efficient frontier, optimal portfolio, mean-variance, and the Sharpe algorithm.