ECON 424/AMATH 540:  Introduction to Computational Finance and Financial Econometrics

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Lecture Notes and Class Slides

Summer 2011

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

• returnCalculations.pdf.  Lecture notes: asset return calculations. Revised June 21, 2011.

• returnCalculationSlides.pdf. Class slides: asset return calculations.  Revised June 21, 2011.

  • returnCalculations.xls.  Revised October 24, 2006.

  • returnCalculations.r. Revised June 24, 2011
    • msftPrices.csv
    • sbuxPrices.csv

  • tablet PC notes for lecture 2.

Probability Review

• probReview.pdf. Lecture notes: review of random variables and probability distributions. Revised July 3, 2011

• probReviewSlidesPart1.pdf. Class slides: review of univariate random variables and probability distributions. Revised July 3, 2011.

• probReviewSlidesPart2.pdf. Class slides: review of bivariate distributions, and linear combinations of random variables. Revised July 5, 2011.

  • probReview.xls.  Revised July 3, 2011

  • probReview.r.  Revised July 3, 2011

  • tablet PC notes for lecture 3.

  • tablet PC notes for lecture 4.

  • tablet PC notes for lecture 5.

Matrix Algebra

• matrixreview.pdf. Lecture notes reviewing some basic results from matrix algebra. Revised July 7, 2011.

• matrixreviewslides.pdf. Class slides on review of matrix algebra. Revised July 7, 2011

• matrixReviewPowerpoint.pdf. Powerpoint examples. Revised July 7, 2011.

  • matrixReview.r.  R script file used for Powerpoint examples. Revised July 7, 2011.

  • tablet PC notes for lecture 6 .

Time Series Concepts

• timeSeriesConcepts.pdf. Lecture notes on basic time series concepts. Revised July 7, 2011.

• timeSeriesConceptsSlides.pdf.  Class slides: review of basic time series concepts (stationarity, MA and AR models). Revised: July 7, 2011.

• timeSeriesConceptsPowerPoint.pdf.  Powerpoint examples. Revised July 7, 2011.

  • timeSeriesConcepts.r.  R script file used for Powerpoint examples. Revised July 7, 2011.

  • tablet PC notes for lecture 7.

  • tablet PC notes for lecture 8

Descriptive Statistics

• descriptiveStatisticsSlides.pdf. Class slides. Basic descriptive statistics (histograms, sample statistics, qq-plots, boxplots, scatterplots, sample autocorrelations). Revised July 14, 2011.

• descriptiveStatisticsPowerPoint.pdf. Powerpoint examples. Revised July 14, 2011.

• descriptiveStatisticsDailyPowerPoint.pdf. Powerpoint examples. Revised July 14, 2011.

  • descriptiveStatistics.r.  R script file. Revised July 14, 2011.

  • descriptiveStatisticsDaily.r.  R script file. Revised July 14, 2011.

  • tablet PC notes for lecture 9 

Constant Expected Return Model

• constantExpectedReturn.pdf. Lecture notes. The constant expected return model of asset returns. Revised Aug 2, 2011.

• cerModelSlides.pdf. Class slides. Revised: July 26, 2011.

• cerModelPowerPoint.pdf.  Powerpoint examples. Revised: Aug 2, 2011.

  • cerModelExamples.r.  R script file.

  • . tablet PC notes for lecture 10

Bootstrapping in CER Model

• bootStrapSlides.pdf.  Class slides. Revised: July 26, 2011.

• bootStrapPowerPoint.pdf. Powerpoint examples. Revised: July 26, 2011

  • bootStrap.r.  R script file. Revised: October 18, 2008

  • tablet PC notes for lecture 11

Hypothesis Testing in CER Model

• hypothesisTestingCERSlides.pdf. Class slides. Revised: July 26, 2011.

• hypothesisTestingCERpowerpoint.pdf. Powerpoint examples. Revised: August 2, 2011.

  • hypothesisTestingCER.r. R script file. Revised: August 2, 2011.

  • tablet PC notes for lecture 12. 

Introduction to Portfolio Theory

• IntroductionPortfolioTheory.pdf. Lecture notes on Introduction to portfolio theory. Revised November 10, 2009.

• portfolioTheory1Slides.pdf.  Class slides. Revised November 9, 2009.

• tablet PC notes for lecture 13.

  • introductionToPortfolioTheory.r. Posted November 10, 2009.

Portfolio Theory with Matrix Algebra

• portfolioTheoryMatrix.pdf. Computing efficient portfolios using matrix algebra. Posted October 24, 2010

• portfolioTheoryMatrixSlides.pdf. Class slides. Revised November 12, 2008.

• rollingPortfolioSlides. Class slides on the statistical analysis of efficient portfolios. Revised November 12, 2002.

• rollingPortfoliosPowerPoint.pdf.  Powerpoint examples. Revised November 12, 2008.

• tablet PC notes for lecture 14 

• tablet PC notes for lecture 15

• portfolioTheoryMatrix.r

• portfolio.r

• testport.r

• rollingPortfolios.r

• testPortfolioOptim.r

Single Index Model and Linear Regression

• singleIndexSlides.pdf. Class slides. Revised Decenber 9, 2009.

• estimateSiModelSlides.pdf. Class slides. Revised  December 9, 2009.

• tablet PC notes for lecture 16

• tablet PC notes for lecture 17

  • singleIndex.r

Rolling Analysis of Single Index Model

• rollingSlides.pdf. Class slides. Revised May 31, 2006

• rollingPowerPoint.pdf.  Powerpoint examples. Revised May 31, 2006.

  • rolling.r

Capital Asset Pricing Model

• capm2.pdf. The capital asset pricing model and some simple tests.

• capmSlides.pdf.  Revised December 3, 2004.

• testCAPM.ssc
• berndt.csv
• Tablet PC notes for lecture 18

Measuring Portfolio Performance

• performanceSlides.pdf. Revised December 9, 2009.