Elements of advanced probability theory: log-normal and Levy distributions; truncated distributions; correlations, nonstationarities. Statistical properties of financial time series. Time evolution of distribution functions; anmalous kurtosis and scale fluctuations. Interest rates fluctuations, volatility and fat tails: ARCH and GARCH models. Elements of portfolio analysis: risk analysis and diversification.
Time series analysis: ARMA and ARIMA models; ARCH/GARCH models. Parameter estimation, prediction and order selection. Experiences with software tools for the analysis of time series.