Würtz D. Computing with R and S-Plus For Financial Engineers. Part I: Markets, Basic Statistics, Date and Time Management. Draft

ETH Zürich, 2003. – 119 p. – ISBN: N/AThis script collects material used in lecture Econophysics held in SS 2003 and in former lectures at the Insitute of Theoretical Physics of ETH Zürich.Markets, Basic Statistics, Date and Time
Economic and Financial Markets
Distribution Functions in Finance
Searching for Structures and Dependencies
Probability Theory and Hypothesis Testing
Calculating and Managing Calendar Dates
The Dynamical Process Behind Financial Markets
ARIMA Modelling: Basic Concepts of Linear Processes
GARCH Modelling: Mastering Heteroskedastic Processes
Regression Modelling from the Time Series Point of View
Beyond the Sample: Dealing With Extreme Values
Exploratory Data Analysis of Extremes
Fluctuations of MAXIMA: GEV Distribution
Extremes of Point Processes
The Extremal Index
The Valuation of Options
The Basics of Option Pricing
Pricing Formulas for Exotic Options
Heston Nandi Option Pricing
MC Simulation of Path Dependent Options