Lecture 12: Time Series Analysis III
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Description
This is the last of three lectures introducing the topic of time series analysis, describing cointegration, cointegrated VAR models, linear state-space models, and Kalman filters.
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This is a guest lecture on quanto credit hedging, including using mathematical models in trading.
Published 06/22/15
This lecture is an introduction to counterparty credit risk, featuring credit valuation as well as the broad economic objectives of a financial institution. It also concludes the course.
Published 06/22/15
Published 06/22/15
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