Introduction to Quantitative Finance
Introduction to Quantitative Finance
Dr. Steven J. Jordan Room C105 Tues & Fri 10:30 am – 12:20 pm
Goal:
To cover the CFA exam quantitative finance material related to statistical and data analysis. The main emphasis will be on correctly collecting and analyzing data from a practitioner’s perspective. If time allows, the course will also cover the quantitative material related to portfolio theory.
Recommended Texts:
- Quantitative Investment Analysis, second edition, by Defusco, McLeavey, Pinto, and Runkle.
- Quantitative Investment Analysis Workbook, second edition.
Grading:
Grades will be determined by:
1) 100% final exam
- Homework problems will consist of the problems in the text and in the workbook, for which solutions are provided. Homework will not be collected or graded, however problems on the exam will be derived from homework problems.
Chapters:
- Chpt 6: Sampling and Estimation
- Chpt 7: Hypothesis Testing
- Chpt 8: Correlation and Regression
- Chpt 9: Multiple Regression and Issues in Regression Analysis
- Chpt 10: Time-series Analysis
- Chpt 11: Portfolio Concepts (time permitting)
- -------: Introduction to Panel Data Methods (time permitting)
Software:
Students should familiarize themselves with one or more of the following statistical software packages: SAS, STATA, Eviews, LimDep, Guass, SPlus, SPSS, or R.
- Note: Commercial packages can be expensive. Most vendors have a student version available at a large discount. R is freeware and thus has no cost or distribution restrictions.
- I cannot provide support for any of the above software packages. I personally use SAS, but have had minor exposure to STATA and Eviews. At some point, I would like to learn R. Still, it is you responsibility to know and learn the software package that you use.
- Getting acquainted with a software package now will enhance your ability to write and finish your thesis. It will also help to engrain the concepts and problems in your mind if you implement the techniques in a software package as you learn the material.