STAT 421 – Computational Finance II: Time Series Analysis

Spring, 2005

Dr. Katherine Bennett Ensor

Contact information:

e-mail: ensor@rice.edu

Rice phone: 713 348 4687 /

Office: DH 1083

Office hours: M 2-3 or by appointment

TA: Lada Kyj (ladakyj@stat.rice.edu)

Office Hours: Tuesday 2:30-3:30, Wednesday 11:00 – 12:00

Rice phone: 713 348 3652

Office: DH 2086

Textbook: Analysis of Financial Time Series (Ruey S. Tsay)

· see http://gsbwww.uchicago.edu/fac/ruey.tsay/teaching/fts/ for more details

Software: Splus + Finmetrics, R, Matlab and SAS

· I will use mostly Splus and R. Matlab and SAS are also suitable software for purposes of this material.

Prerequisite: STAT 310, 331 or permission of instructor. STAT 410 is recommended

Grading:

• 40% Homework (some homeworks will be individual pledged assignments)
• 20% Exam I
• 25% Exam II, Take home final exam
• 10% Written Project (due the final class period) GROUP PROJECTS
• 5% Oral Presentation – given the final two weeks of the semester