First Steps

• Getting Started
• Descriptive Statistics
• Graphics

Teaching Statistics

• Teachware Quantlets
• Wavelets

Regression Models

• Regression Methods
• Smoothing Methods
• Generalized Linear Models
• Generalized Partial Linear Models
• Generalized Additive Models
• Quantile Regression
• Least Trimmed Squares
• Hazard Regression
• Microeconometrics and Panel Data
• Simultaneuos-Equations Models
• Errors-in-Variables Models
• DPLS: Partial Least Squares Program

Data Exploration

• Cluster Analysis
• Classification and Regression Trees
• Correspondence Analysis
• Neural Networks

Finance

• Extreme Value Analysis
• Long-Memory Analysis
• Approximating Value at Risk in Conditional Gaussian Models
• Multivariate Volatility Models
• Applications of Copulas for the Calculation of Value-at-Risk
• Sensitivity analysis of credit portfolio models
• An Empirical Likelihood Goodness-of-Fit Test for Diffusions
• Long Memory Effects Trading Strategy
• How Precise Are Price Distributions Predicted by IBT?
• Nonparametric Estimators of GARCH Processes
• Rating Migrations
• Net Based Spreadsheets in Quantitative Finance
• Statistical Process Control
• Estimating State-Price Densities with Nonparametric Regression
• Trading on Deviations of Implied and Historical Densities
• Quantification of Spread Risk by Means of Historical Simulation
• A simple state space model of house prices
• Locally time homogeneous time series modeling
• The Analysis of Implied Volatilities
• Simulation based Option Pricing
• Finance

Multivariate Statistics

• Comparison of Batches
• A Short Excursion into Matrix Algebra
• Moving to Higher Dimensions
• Multivariate Distributions
• Theory of the Multinormal
• Theory of Estimation
• Hypothesis Testing
• Decomposition of Data Matrices by Factors
• Principal Components Analysis
• Factor Analysis
• Cluster Analysis
• Discriminant Analysis
• Correspondence Analysis
• Canonical Correlation Analysis
• Multidimensional Scaling
• Conjoint Measurement Analysis
• Applications in Finance
• Highly Interactive, Computationally Intensive Techniques

Dynamical Statistical Systems

• Time Series
• Multiple Time Series Analysis
• Flexible Time Series Analysis
• Kalman Filtering
• Robust Kalman Filtering

Introduction to Econometrics

• Univariate Linear Regression Model
• Multivariate Linear Regression Model
• Dimension Reduction and Its Applications
• Univariate Time Series Modelling
• Multiplicative SARIMA models
• AutoRegressive Conditional Heteroscedastic Models
• Numerical Optimization Methods in Econometrics

Statistics of Financial Markets

• Derivatives
• Introduction to Option Management
• Basic Concepts of Probability Theory
• Stochastic Processes in Discrete Time
• Stochastic Integrals and Differential Equations
• Black-Scholes Option Pricing Model
• Binomial Model for European Options
• American Options
• Exotic Options and Interest Rate Derivatives
• Introduction: Definitions and Concepts
• ARIMA Time Series Models
• Time Series with Stochastic Volatility
• Non-parametric Concepts for Financial Time Series
• Valuing Options with Flexible Volatility Estimators
• Value at Risk and Backtesting
• Copulas and Value-at-Risk
• Statistics of Extreme Risks
• Neural Networks
• Volatility Risk of Option Portfolios
• Nonparametric Estimators for the Probability of Default

Statistical Tools in Finance and Insurance

• Stable Distributions
• Extreme Value Analysis and Copulas
• Tail Dependence
• Pricing of Catastrophe Bonds
• Common Functional IV Analysis
• Implied Trinomial Trees
• Heston's Model and the Smile
• FFT-based Option Pricing
• Valuation of Mortgage Backed Securities
• Predicting Bankruptcy with Support Vector Machines
• Modelling Indonesian Money Demand
• Nonparametric Productivity Analysis
• Loss Distributions
• Modeling of the Risk Process
• Ruin Probabilities in Finite and Infinite Time
• Stable Diffusion Approximation of the Risk Process
• Risk Model of Good and Bad Periods
• Premiums in the Individual and Collective Risk Models
• Pure Risk Premiums under Deductibles
• Premiums, Investments, and Reinsurance
• Working with the XQC

Applications

• Uncovered Interest Parity
• ExploRing Persistence in Financial Time Series
• Growth Regression and Counterfactual Income Dynamics

Programming

• Reading and Writing Data
• Matrix Handling
• Quantlets and Quantlibs
• Dynamically linked libraries

Appendix

• Customizing XploRe
• Data Sets