Lecture Notes


Home Syllabus Homework Notes Excel Hints S-PLUS Hints Announcements Links Project Review	Eric Zivot Economics 483 Introduction to Computational Finance and Financial Econometrics Lecture Notes and Class Slides Fall 2004
Last updated: December 3, 2004 Note: These notes and accompanying spreadsheets are preliminary and incomplete and they are not guaranteed to be free of errors. Some of the spreadsheets require the StatPlus Add-in. Some of the S-PLUS script files require the S+FinMetrics module, and some require the Resample library (distributed with S-PLUS 6.2). 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 October 10, 2004. returnCalculationSlides.pdf. Class slides: asset return calculations. Revised October 10, 2004. returnCalculations.xls Probability Review probReviewPartI.pdf. Lecture notes: review of univariate random variables and probability distributions. Revised October 10, 2001 probReviewSlides.pdf. Class slides: review of univariate random variables and probability distributions. Revised October 10, 2004. probReviewSlidesPart2.pdf. Class slides: review of bivariate distributions, and linear combinations of random variables. Revised: October 13, 2004. probReview.xls Time Series Concepts timeSeriesConceptsSlides.pdf. Class slides: review of basic time series concepts (stationarity, MA and AR models). Revised: October 18, 2004. timeSeriesConcepts.ssc. Splus script file. Descriptive Statistics descriptiveStatisticsSlides.pdf. Class slides. Basic descriptive statistics (histograms, sample statistics, qq-plots, boxplots, scatterplots, sample autocorrelations). Revised October 19, 2004. descriptiveStatistics.ssc. Splus script file. Constant Expected Return Model constantExpectedReturn.pdf. Lecture notes. The constant expected return model of asset returns. Revised February 07, 2002. cerModelSlides.pdf. Class slides. Revised November 1, 2004. cerModelExamples.ssc. Splus script file. Bootstrapping bootStrapSlides.pdf. Revised November 1, 2004. bootStrap.ssc. Splus script file. Introduction to Portfolio Theory portf.pdf. Lecture notes on Introduction to portfolio theory. Revised February 21, 2001. portfolioTheory1Slides.pdf. Class slides. Revised November 10, 2004. Portfolio Theory with Matrix Algebra matrix.pdf. Matrix algebra review. Revised February 5, 2001. marko.pdf. Computing efficient portfolios using the Markowitz algorithm. Revised February 19, 2000 matrixReviewSlides.pdf. Class slides. Revised November 10, 2004. portfolioTheoryMatrixSlides.pdf. Class slides. Revised November 17, 2004. Single Index Model and Linear Regression mm.pdf. Lecture notes on the single index model of asset returns. Revised March1, 2001. singleIndexSlides.pdf. Class slides. Revised November 21, 2004. estimateSiModelSlides.pdf. Class slides. Revised November 23, 2004. hypothesisTestingSlides.pdf. Class slides. Revised November 28, 2004. singleIndex.ssc hypothesisTesting.ssc Capital Asset Pricing Model capm2.pdf. The capital asset pricing model and some simple tests. capmSlides.pdf. Revised December 3, 2004. Multi Index Models multiIndexSlides.pdf. Revised December 8, 2003. Measuring Portfolio Performance performanceSlides.pdf. Revised December 8, 2003.