Harald Schmidbauer's Personal Homepages

Course Material -
FEC 514: Applications in Financial Modeling

Syllabus

• Download (PDF)

Slides

• Chapter 1. Introduction (PDF)
• Chapter 2. Analyzing Price Changes: Some Aspects (PDF)
• Chapter 3. Simulation Studies in Financial Calculus (PDF)
• Chapter 4. Multiple Regression and Extensions (PDF)
• Chapter 5. ARMA Processes (PDF)
• Chapter 6. Univariate GARCH Processes (PDF)
• Chapter 7. Bivariate GARCH Processes (PDF)
• Chapter 8. Models for Return Distributions (PDF)

About Term Projects

• Suggestions Concerning Term Projects (PDF)

R and Data Files

• VW Golf Price Regression (zip)
• A 3d Scatterplot of Car Data (zip)
• An example with supermarket data (zip)
• R-session examples, part 1 (PDF)
• R-session examples, part 2 (PDF)
• R-session files for part 2 (zip)

Links to other sites

• Sinan's advice on installing Linux
• Sinan's tips on getting and using LaTeX
• Link to R tutorials. In particular, you may find Verzani's "Simple R" useful to get started in R.

Document last modified on May 16, 2010.