Bayesian Methods in Finance
AMS-522-30
Stony Brook University
- Semester
- Spring 2025
- Instructor
- Stanislav Uryasev
- Start Date
- 01-27-2025
- Total Credits
- 3
- Call to Register
- 631-632-6175
Take your class online with SUNY
You will learn the same curriculum as our on-campus students
The course explores in depth the fundamentals of the Bayesian methodology and the use of the Bayesian theory in portfolio and risk management. It focuses on, among other topics, incorporating the prior views of analysts and investors into the asset allocation process, estimating and predicting volatility, improving risk forecasts, and combining the conclusions of different models. Numerical exercises and projects in a high-level programming environment will be assigned.
This class will be limited to a sample size of 40 students and will meet once weekly during the course of the semester. Each class meeting will consist of discussion of theoretical material, as well as applications and examples using real market data, whenever practical. Application presentations will start with the basics, work through the traditional "frequentist" perspective, and follow with the Bayesian treatment.
Students will have the option to choose between a final exam and a research project as the form of the end-of-semester evaluation.
3 Credits, ABCF Grading
Course Area: Statistics
Level: Graduate
Dates: 01-27-2025 - 05-21-2025
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- Instructor: Stanislav Uryasev
- Local Course ID: 25SP_STB_AMS522_30
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