Course Information

MA 373 : Statistical Analysis on Financial Data

Lectures will be from 2 - 2:55 pm in 1102 on Wednesday; Lab-class is allotted from 3:00 - 4:00 pm on Wednesday.

General Information

Instructors :   Dr. Arabin Kumar Dey (Jointly With Dr. N. Selvaraju)
Office :   E108
Office Hours :   By appointment.
Office Phone :   +91- 361- 258 - 2620
Email :

Course Text

Course Content

Principles of Monte Carlo, generation of random numbers from a uniform distribution: linear congruential generators and its variations, inverse transform and acceptance-rejection methods of transformation of uniform deviates, simulation of univariate and multivariate normally distributed random variables: Box-Muller and Marsaglia methods, variance reduction techniques, generation of Brownian sample paths, quasi-Monte Carlo: Low discrepancy sequences.

Prerequisite: This course assumes knowledge of probability and random process.


Theory Exams (Average of two or more exams)   :     30%
Lab Assignments  :     10%
Mid-Semester Lab Examination  :     30%
End-Semester Lab Examination  :     30%
Total  :     100%

Lab assignments

Lab assignments will be assigned regularly and will be due in lab-class.

Please Note