QF104 Programming in R for Quantitative Finance

From Hanlon Financial Systems Lab Web Encyclopedia
Jump to: navigation, search



Course Catalog Description

Introduction

Objective of this course is to provide students with formal training on various advanced skills in R. Students will learn a unique skill set prior to entering the workplace.
Campus Fall Spring Summer
On Campus X X
Web Campus

Instructors

Professor Email Office
Elias Aleman
ealemanl@stevens.edu Babbio 419



More Information

Course Description

Objective of this course is to provide students with formal training on various advanced skills in R. Students will learn a unique skillset prior to entering the workplace. 
Prerequisites: QF103

Course Outcomes

After taking this course, students will be able to:

• Download/access historic and real-time data to create standard financial charts and compute technical indicators in R using QuantMod, TTR and the Bloomberg API

• Use R packages for data management, analysis and visualization 

• Compute statistics for financial data in R   

• Perform a regression analysis on financial data

 

• Query from and write data to a SQL/non-SQL database


Course Resources

Textbook

Introduction to R – Robert Stinerock – Will be posted

Additional References

http://cran.us.r-project.org/



Grading

Grading Policies

The assignments and their weights are as shown below:

 

 

 

 

 

Please note that assignments in this class may be submitted to www.turnitin.com, a web-based anti-plagiarism system, for an evaluation of their originality.


Lecture Outline

Topic Reading
Week 1 Introduction to Financial Engineering Ch. 1 and 2
Week 2 Capital Markets Overview Ch. 3
Week 3 Corporate Finance & Valuation Ch. 3
Week 4 Equity Analysis Ch. 4
Week 5 Fixed Income Debt Securities Ch. 4
Week 6 Overview of Bonds Sectors & Instruments Ch. 4
Week 7 Valuation of Debt Securities Ch. 4
Week 8 Securitized Products
Week 9 Leveraged Loans & CLO's Ch. 5
Week 10 General Principles of Credit Analysis Ch. 5
Week 11 Foreign Exchange Ch. 6
Week 12 Poisson Processes and Jump Diffusion Ch. 11
Week 13 Exotic Options Ch. 7
Week 14 Review & Catch-up