424/AMATH ECON 540
Introduction to Computational
Finance and Financial
Econometrics
Eric Zivot,
Savery 344, email:[e-mail],
phone [phone]
543
http://faculty.washington.edu/ezivot
OH: MF 11-12
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Course Material on the Web
ECON 424 Class Webpage:
faculty.washington.edu/ezivot/econ424/econ424.htm
AMATH
AMATH 540 Moodle Site
moodle.extn.washington.edu
Class email lists:
[e-mail]
[e-mail]
(you will be automatically subscribed)
I will use the website and class email list to
post announcements, homework corrections,
etc.
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COURSE MECHANICS
(see syllabus on webpage)
Course content
Prerequisites: math, stat, micro theory
Text:
introduction to Financial Econometrics, by Eric Zivot (manuscript in
preparation)
Statistics and Data Analysis for Financial Engineering, by David
Ruppert, Springer-Verlag, 2010.
Additional Readings online.
Exam Review: Several sets of past exams have been
posted
posted on the class web site
Software: Excel, R
Download free student version of R from www.r-project.org
Highly recommended to use Rstudio from www.rStudio.org
Exams, homework, class project
HW due every Tuesday
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Statistics and Data Analysis for
Financial Engineering
Excellent statistical
treatment of financial
treatment of financial
data with R integration
Extensive revision of
earlier book Statistics
and Finance: An
Introduction
Used also in AMATH
542, Financial Data
Modeling and Analysis
in R
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R Cookbook
No-nonsense guide to
R with more than 200
practical recipes helps
you perform data
analysis with R quickly
and efficiently.
Written by finance
quant Paul Teetor
Pa Teetor
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A Beginners Guide to R
Gentle to
introduction introduction to
R programming and
graphics language
Short, concise chapters
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Additional Courses in Finance
Econ 421 Money, Credit and the Economy
421
Credit and the Economy
Econ 422 Investment, Capital and Finance
Econ 423 Topics in Financial Economics
Econ 426 Advanced Financial Economics
New class on derivatives etc.
Econ 464 Financial Crisis
Math/Stat 492 Stochastic Calculus
Math 408 Nonlinear Optimization
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About Me
Robert Richards Chaired Professor of
Economics
Adjunct Professor of Finance (Foster Business
School), Adjunct Professor of Statistics, Adjunct
Adj
St
Adj
Professor of Applied Mathematics
UC Berkeley undergrad
Econ and Stat double major
Yale Ph.D. with emphasis in Econometrics and
Finance
Co-Director of new MS Degree Program in
Computational Finance and Risk Management
Co-author of Modeling Financial Time Series
with S-PLUS, Springer-Verlag
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About Me: Teaching
Graduate level: econometric theory,
level: econometric theory
analysis of time series data, financial
econometrics and risk management
Undergraduate level: Econ 422
(investment, capital and finance), and
Econ 424 (computational finance)
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About Me: Research
Econometric Theory
Development of new statistical methodology for
analyzing economic and financial data
Time Series Econometrics
Model trend behavior of economic and financial data
Financial Econometrics
Analysis of ultra high frequency data (intra-day tick
by tick)
Analysis of hedge fund data
Statistical Software Development
Modeling Financial Time Series with S-PLUS, with
Jiahui Wang, Springer-Verlag
Modeling Financial Time Series with R, manuscript
under preparation
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