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

Home
Syllabus
Homework
Notes
Excel Hints
R Hints
Announcements
Links
Project
Review
Canvas

Lecture Notes and Class Slides

Fall 2014

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

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