Econometrics

Econometrics

Econometrics is short for the analysis of economics using mathematical and statistical methods. In finance, econometrics is useful for testing financial theories, determining asset prices or returns, testing hypotheses concerning relationships between variables, examining the effect on financial markets of changes in economic conditions, forecasting future values of financial variables and for financial decision-making.

Econometrics also plays an important role in macroeconomics for studying economic trends, in principle in all areas of economics.

Financial risk management concerns the theories and methods that firms use to handle risks e.g. due to changes in commodity prices or exchange rates. From a statistical and econometric perspective, risk management involves topics such as volatility modeling, correlation modeling, extreme value problems, simulation based methods and modeling of option risk.

Specific topics considered by the mathematical economics group are

  • Time series analysis of prices and returns from financial markets and specifically commodities markets.
  • Energy and weather derivatives.
  • Long memory in Time Series specifically for Climate Change models
  • Asset pricing in continuous time: Stochastic differential equations.
  • Quantitative Finance: Derivatives modeling and stochastic volatility.
  • Financial risk management.