Quantitative Finance II 2011/2012 Lectures
JEM061 Quantitative Finance II school web
Mon. 17:00 - 20:00 at IES room no. 016 (computer labs)
Please note that Lecture note numbers does not correspond to weeks.
Introduction to Mathematica
by Jozef Baruník
Introduction to Mathematica environment, Time Series simulation, etc.
Mathematica Intro.nb (Mathematica 7)
Mathematica Intro.pdf (Adobe Acrobat)
Long Memory: Introduction
by Lukáš Vácha
Introduction to Long Memory processes
Lecture Notes.nb (Full interactive Mathematica version)
Lecture Notes.cdf (Interactive version for the free player)
Lecture Notes.pdf
Long Memory: ARFIMA and Estimation
by Lukáš Vácha
ARFIMA, Estimation
Lecture Notes.nb (Full interactive Mathematica version)
Lecture Notes.cdf (Interactive version for the free player)
Lecture Notes.pdf
Long Memory: Spectral Analysis
by Lukáš Vácha
Spectral Analysis - Introduction
Lecture Notes.nb (Full interactive Mathematica version)
Lecture Notes.cdf (Interactive version for the free player)
Lecture Notes.pdf
Long Memory: Spectral Analysis II
by Lukáš Vácha
Spectral Analysis
Lecture Notes.nb (Full interactive Mathematica version)
Lecture Notes.cdf (Interactive version for the free player)
Lecture Notes.pdf
Wavelets: Introduction
by Lukáš Vácha
Application to financial data