| Call Number | 12661 |
|---|---|
| Day & Time Location |
TF 6:00pm-9:00pm 303 Seeley W. Mudd Building |
| Points | 3 |
| Grading Mode | Standard |
| Approvals Required | None |
| Instructor | Gunter Meissner |
| Type | LECTURE |
| Method of Instruction | In-Person |
| Course Description | 15 Correlation Models are introduced, 4 are discussed in detail: Is the Pearson Correlation Model sufficient for Finance? Are Copula Correlations, Cointegration, or Stochastic Correlations superior? 6 correlation trading strategies are introduced: 1) Empirical Correlation Trading, 2) Pairs Trading, 3) Multi-asset Options, 4) Structured Products, 5) Correlation Swaps, and 6) Dispersion trading. Every Risk Management concept such as VaR (Value at Risk), ES (Expected Shortfall), or CVaR (Credit Value at Risk) applies a certain correlation model, which will be scrutinized. Quantum Entanglement was awarded the Nobel Prize in 2022. We will examine if it is applicable in Finance. Finally, we will discuss whether we can use AI, in particular recurrent Neural Networks, to derive correlations. |
| Web Site | Vergil |
| Subterm | 05/22-06/30 (A) |
| Department | Industrial Engineering and Operations Research |
| Enrollment | 7 students (50 max) as of 9:06PM Thursday, May 8, 2025 |
| Subject | Industrial Engineering and Operations Research |
| Number | E4722 |
| Section | 001 |
| Division | School of Engineering and Applied Science: Graduate |
| Campus | Morningside |
| Note | Class meets 5/26 - 7/1 |
| Section key | 20232IEOR4722E001 |