Financial Econometrics Notes

Resources

  • Statistical Data Analysis for Financial Engineering
  • A Beginner’s Guide to R – Alain Zuur et al.
  • R Cookbook – Paul Teetor
  • Syllabus
  • Return Calculations
  • Probability Review
  • Descriptive Stats
  • Constatnt Expected Return Model
  • Portfolio Theory
  • Risk Budgeting
  • Single Index Model
  • Week 1 - Introduction

The Time Value of Money

V invested in n years with simple interest rate R per year

  • Year 0: V
  • Year 1: V(1+R)
  • Year 2: V(1+R)^2
  • Year 3: V(1+R)^3
  • Year n: Future Value =V(1+R)^n