M5MF38 Statistical Methods in Finance

Tuesdays 9--11am, Huxley 140.
Thursdays 2--4pm, Huxley 140.

Lectures

Introductory Statistics
Week 0
Week 1
Week 2
Week 3
Week 4
Week 5
Week 6
Week 7

Problems

Problems 1
Problems 2
Problems 3
Problems 4
Problems 5
Problems 6
Problems 7

Practicals

Practical 1
Practical 2
Practical 3
Practical 4

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 3: Bond data for PCA analysis
SMF Prob 6 ex 1: Dow Jones Data for ARMA fitting
SMF Prob 6 ex 2: CBOEVIX Data for GARCH fitting
SMF Prob bonus 6: SP&500 Data for ARMA+GARCH fitting
SMF 10: Stock and Dow Jones returns for Kalman filtering

Solutions

Solutions 1
Solutions 2
Solutions 3
Solutions 4
Solutions 5
Solutions 6
Solutions 7
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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
Exam 2013a
Exam Solutions 2013a
Exam 2014
Exan Solutions 2014

Previous Year's Course

Click here for materials relating to last years course.e.