M5MF38 Statistical Methods in Finance

Problems

Prob1
Prob2
Prob3
Prob4
Prob5
Prob6
Prob7
Prob8
Prob9
Prob10
Prob11
Prob12

Data

This section lists the data file you may need to attempt some of the exercises. Use right-click and "save link as" to download.

SMF Prob 4: Bond data for PCA analysis
SMF Prob 9 ex 1: Dow Jones Data for ARMA fitting
SMF Prob 9 ex 2: CBOEVIX Data for GARCH fitting
SMF Prob bonus 9: SP&500 Data for ARMA+GARCH fitting
SMF 10: Stock and Dow Jones returns for Kalman filtering

Solutions

Soln1
Soln2
Soln3
Soln4
Soln5
Soln6
Soln7
Soln8
Soln9
Soln10
Soln11
Soln12

Exams

Mock Exam 2011
Mock Exam Solutions 2011
Exam 2011
Exam Solutions 2011
Mock Exam 2012
Mock Exam Solutions 2012
Exam 2012
Exam Solutions 2012
Exam 2013
Exam Solutions 2013

Lectures

Day 0
Day 1
Day 2
Day 3
Day 4
Day 5
Day 6
Day 7
Day 8
Day 9
Day 10
Day 11
Day 12

Previous Year's Course

Click here for materials relating to the 2012 course. Click here for materials relating to the 2011 half-course.