Monday, June 17, 2013

Statistics C183/C283: Statistical Models in Finance

Statistics C183/C283: Statistical Models in Finance

Announcements

  • First lecture is on Monday, 01 April 2013.
    Location: MWF MS 5200.
    Time: 11:00 - 11:50.
    See you then!
For the course syllabus click here.

Useful links:

Statistics Online Computational Resource (SOCR):
  • http://www.socr.ucla.edu

    It's online, therefore it exists!

    SOCR Educational Materials:
  • http://wiki.stat.ucla.edu/socr/index.php/SOCR_EduMaterials.

    Useful link:
  • Probability and Statistics EBook.
  • Download R and packages.

    Labs

    Handouts

  • 1. Historical note (from "Against the Gods, the Remarkable Story of Risk", by Peter Berstein, Wiley 1998).
  • 2. Introduction.
  • 3. Diversification - a simple example.
  • 4. Correlation coefficient and protfolio risk.
  • 5. Basics.
  • 6. Example with two stocks (portfolio possibilities curve, efficient frontier).
    For handout #6 also download the R commands and the files with the data using the following 3 links:
    a. R commands.
    b. First data set (table1.csv).
    c. Second data set (table2.csv).
  • 7. Why diversfication works.
  • 8. Short sales.
  • 9. An Analytic Derivation of the Efficient Portfolio Frontier (JFQA, Robert Merton, 1972).
  • 10. Efficient frontier with risk free lending and borrowing.
  • 11. How to find the point of tangency (see also handout 10).
  • 12. Point of tangency - example.
  • 13. Lab - example.
  • 14. R code for point of tangency.
  • 15. Sensitivity analysis.
  • 16. Trace out the efficient frontier - example.
  • 17. Trace out the efficient frontier - R code for example of handout 16.
  • 18. Single index model - summary.
  • 19. Adjusting the betas.
  • 20. Adjusting the betas using Vasicek's technique.
  • 21. Adjusting the betas using Blume's technique.
  • 22. Betas and their regression tendencies (Blume).
  • 23. Are betas best?
  • 24. Introduction to stockPortfolio package.
  • 25. How to supply your own data to use the stockPortfolio package.
  • 26. Project (more details will be discussed in class).
  • 27. Simple criteria for optimal portfolio selection.
  • 28. Single index model steps.
  • 29. Single index model - example with short sales allowed.
  • 30. Single index model - example with short sales not allowed.
  • 31. Single index model and optimization procedure give the same answer.
  • 32. Single index model - example using R.
  • 33. Single index model - example using R (same as handout 32).
  • 34. Single index model - Kuhn Tucker conditions when short sales are not allowed.
  • 35. Constant correlation model steps.
  • 36. Constant correlation - example with short sales allowed.
  • 37. Constant correlation - example with short sales not allowed.
  • 38. Constant correlation model - R example.
  • 39. Single index and constant correlation models using the stockPortfolio package.
  • 40. Trace out the efficient frontier when risk free lending and borrowing does not exist - an example using the stockPortfolio package.
  • 41. Simple criteria for optimal portfolio selection: Tracing out the efficient frontier.
  • 42. Simple criteria for optimal portfolio selection: The multi group case.
  • 43. Multigroup model.
  • 44. Multi group model using the stockPortfolio package.
  • 45. Multi-index model.
  • 46. Practice exam.
  • 47. Practice problems.
  • 48. Modern portfolio theory, 1950 to date.
  • 49. Portfolio performance.
  • 50. Plot 1 (see handout #46).
  • 51. Plot 2 (see handout #46).
  • 52. Options basics.
  • 53. Smiley faces - call option.
  • 54. Smiley faces - put option.
  • 55. Options - some simple examples.
  • 56. Payoff and profit for writer and buyer - call option.
  • 57. Payoff and profit for writer and buyer - put option.
  • 58. Lower and upper bounds for call and put options and put call parity.
  • 59. Trading strategies using options.
  • 60. Butterfly example using R.
  • 61. Access the SOCR applet.
  • 62. Trading strategies using options - Excel file.
  • 63. Binomial option pricing model - introduction.
  • 64. Binomial option pricing model - example.
  • 65. A model for stock prices.
  • 66. Monte Carlo simulaton of a stock's path.
  • 67. Ito process and Black-Scholes model.
  • 68. Estimating volatility - Excel file.
  • 69. Options - summary.
  • 70. Implied volatility.

    Homework

  • Homework 1: Due on Friday, 12 April.
  • Homework 2: Due on Friday, 19 April.
  • Homework 3: Due on Friday, 03 May.
  • Homework 4: Due on Friday, 17 May.
  • Homework 5: Due on Friday, 31 May.
  • Homework 6: Due on Wednesday, 05 June. 

    • Source:http://www.stat.ucla.edu/~nchristo/statistics_c183_c283/

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