ECON 424/AMATH 462:  Introduction to Computational Finance and Financial Econometrics

Excel Hints
R Hints

Lecture Notes and Class Slides

Winter 2015

Note: These notes and accompanying spreadsheets are preliminary and incomplete and they are not guaranteed to be free of errors. Check the revision dates for updates. Please let me know if you find typos or other errors. Comments and suggestions are welcome. 

Return Calculations

Probability Review

  • probReview.pdf. Lecture notes: review of random variables and probability distributions. Revised January 12, 2015

  • probabilityReviewPowerpoint.pdf. Revised January 12, 2015.

  • probReviewSlidesPart1.pdf. Class slides: review of univariate random variables and probability distributions. Revised January 12, 2015.

  • probReviewSlidesPart2.pdf. Class slides: review of bivariate distributions, and linear combinations of random variables. Revised July 7, 2014.

    • probReview.xlsRevised July 3, 2011

    • probReview.rRevised June 26, 2012

    • tablet PC notes for lecture 3.

    • tablet PC notes for lecture 4.

    • tablet PC notes for lecture 5.

Matrix Algebra

Time Series Concepts

Descriptive Statistics

Constant Expected Return Model

Bootstrapping in CER Model

Hypothesis Testing in CER Model

Maximum Likelihood Estimation

Introduction to Portfolio Theory

Portfolio Theory with Matrix Algebra

Single Index Model and Linear Regression

Rolling Analysis of Single Index Model

Capital Asset Pricing Model

Measuring Portfolio Performance