Quantitative Finance I 2011/2012 Lectures
JEM059 Quantitative Finance I school web
Tue. 15:30 - 18:20 at IES, room no.105
Introduction to Mathematica
by Jozef Baruník
For those of you, interested in Mathematica environment, you can download the introduction to Mathematica here, introduction to Time Series simulation, etc. (note that it is NOT obligatory material for the course, it is rather additional)
Mathematica Intro.nb (Mathematica version)
Mathematica Intro.pdf (Adobe Acrobat)
Lecture 1
by Jozef Baruník
Introduction to Financial Time Series (Assets, Prices, Random Walk, Moving average Models)
Lecture1.nb (Full interactive Mathematica version)
Lecture1.cdf (Interactive version for the free player)
Lecture1.pdf
Lecture 2
by Jozef Baruník
Predictability of Asset Returns - Definitions, Testing Random Walk, Unit Root
Lecture2.nb (Full interactive Mathematica version)
Lecture2.cdf (Interactive version for the free player)
Lecture2.pdf
Lecture 3
by Jozef Baruník
Reading:
Starica, Catalin, Is Garch(1,1) as Good a Model as the Accolades of the Nobel Prize Would Imply? (November 2003). Available at SSRN: http://ssrn.com/abstract=637322
and HW1+HW2 discussion/presentation
Lecture 4-5
by Lukáš Vácha
ARIMA processes
Lecture4-5.nb (Full interactive Mathematica version)
Lecture4-5.cdf (Interactive version for the free player)
Lecture4-5.pdf
Lecture 6
by Lukáš Vácha
Modeling Volatility: Intro
Lecture6.nb (Full interactive Mathematica version)
Lecture6.cdf (Interactive version for the free player)
Lecture6.pdf
Lecture 7
by Lukáš Vácha
Modeling Volatility II
Lecture7.nb (Full interactive Mathematica version)
Lecture7.cdf (Interactive version for the free player)
Lecture7.pdf
Lecture 8
by Jozef Baruník
High-frequency financial models - Microstructure noise
Lecture8.nb (Full interactive Mathematica version)
Lecture8.pdf
Lecture 9
by Jozef Baruník
High-frequency financial models - Simulation of continuous-time processes
Lecture9.nb (Full interactive Mathematica version)
Lecture9.pdf
Lecture 10
by Jozef Baruník
High-frequency financial models - Realized Measures
Lecture10.nb (Full interactive Mathematica version)
Lecture10.pdf
Lecture 11
by Jozef Baruník
High-frequency financial models II - Realized Measures
Lecture11.nb (Full interactive Mathematica version)
Lecture11.pdf