# Quantitative Finance and Economics Lecture 9: Portfolio Theory

This lecture of quantitative finance and economics covers portfolio theory.

## 1  Lecture Slides

Portfolio Theory Examples

Portfolio Theory with Matrices Examples

R Portfolio Functions

IntroPortfolioTheory.xls

R codes: portfolio.r , testport.r

# Quantitative Finance and Economics Lecture 8: Hypothtesis Testing

This lecture of quantitative finance and economics covers hypothesis testing.

## 1  Lecture Slides

R Hypothesis Testing Examples

R codes: hypothesisTestingCER.r

# Quantitative Finance and Economics Lecture 7: Bootstrapping

This lecture of quantitative finance and economics covers bootstrapping.

## 1  Lecture Slides

R Bootstrap Examples

R codes: bootStrap.r

# Quantitative Finance and Economics Lecture 6: Constant Expected Return Model and Estimation

This lecture of quantitative finance and economics covers constant expected return model and estimation.

## 1  Lecture Slides

R CER Model Examples

cerExample.csv

R codes: cerModelExamples.r

# Financial Engineering Lecture 4: Options Pricing by Multi Period Binomial Model

This lecture covers options pricing by multi period binomial model.

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# Financial Engineering Lecture 3: Introduction to Derivative Securities

This lecture gives an introduction to derivative securities.

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# Financial Engineering Lecture 2: Basic Fixed Income Securities

,,,,     This lecture presents an introduction to basic fixed income securities.

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# Financial Engineering Lecture 1: Course Overview

This lecture is the overview of this course of financial engineering.

## Overview

Financial Engineering is a multidisciplinary field drawing from finance and economics, mathematics, statistics, engineering and computational methods. The emphasis of FE & RM Part I, lectures 1~10, will be on the use of simple stochastic models to price derivative securities in various asset classes including equities, fixed income, credit and mortgage-backed securities. We will also consider the role that some of these asset classes played during the financial crisis. A notable feature of this course will be an interview module with Emanuel Derman, the renowned “quant” and best-selling author of “My Life as a Quant.” We hope that students who complete the course will begin to understand the “rocket science” behind financial engineering but perhaps more importantly, we hope they will also understand the limitations of this theory in practice and why financial models should always be treated with a healthy degree of skepticism. The follow-on course FE & RM Part II, lectures 11~20, will continue to develop derivatives pricing models but it will also focus on asset allocation and portfolio optimization as well as other applications of financial engineering such as real options, commodity and energy derivatives and algorithmic trading. Read more Financial Engineering Lecture 1: Course Overview

# Quantitative Finance and Economics Lecture 5: Descriptive Statistics

This lecture of quantitative finance and economics covers descriptive statistics.

## 1  Lecture Slides

R Descriptive Statistics Examples

R Examples: Descriptive Statistics Examples for Daily Dataownload PDF slides

R codes: descriptiveStatistics.r

# Quantitative Finance and Economics Lecture 4: Time Series Conceipts

This lecture of quantitative finance and economics covers some basic conceipts of time series.

## 1  Lecture Slides

R Time Series Examples

R codes: timeSeriesConcepts.r