Introduction

This course is designed for graduate students.This course aims at helping students from Financial Engineering and Financial Analytics with core courses study. The content will cover the following topics:
Data gathering, cleaning, and visualization
Fundamental topics in statistics (Moments, linear regression and etc.)
Fundamental topics in financial engineering (the Black-Scholes model etc.)
Numerical methods in Finance (root-finding methods, optimization, interpolation, and numerical integration)

Textbook

Lecture Notes and Code

The art of R programming: a tour of statistical software design. Norman Matlo, First Edition,2011. ISBN-10: 1593273843, ISBN-13: 978-1593273842

An Introduction to Analysis of Financial Data with R. Ruey Tsay, First Edition, 2012. ISBN-10:0470890819, ISBN-13: 978-0470890813

Introduction to the Practice of Statistics. David S. Moore, George P. McCabe, Bruce A. Craig, Eighth Edition, 2014. ISBN-13: 978-1464158933, ISBN-10: 1464158932

Additional References

CRAN: http://www.wikibooks.org

R-help Info: https://stat.ethz.ch/mailman/listinfo/r-help

R-help Archive: http://r.789695.n4.nabble.com

Quick R: http://www.statmethods.net

Grading Policies

Attendance: Attendance is not mandatory and will not be counted in the final grade.

Assignments: All the assignments should be submitted with a report in a PDF file, which contains the code and results (with an explanation if needed), and the correct label. You can generate the PDF file using Word or Latex or Rmarkdown or other software. R file or RMD file is optional. Grading is mainly based on the report.

Exams: Both Midterm and Final Exams are taken home. The dates are planned to be the same as the tentative course schedule, any changes will be reflected in the Announcement. The format will be similar to assignments but due in one week.

• 30% Homework
• 30% Midterm
• 40% Final

Late Policy: Assignments received 1-6 days late will have 20% of the total points deducted. Assignments received more than one week late will receive 0 points. Please send an email before the due date if you need an extension. The extension is usually 2 or 3 days after the due date and should be less than one week.