Mathematics and Finance Summer School at CMI

Chennai Mathematical Institute

Previous Workshop

• Workshop at Conference on Statistical Mathods in Finance, 18-Dec-2016

• Workshop on Financial Statistics with R at Jawaharlal Nehru University (JNU) - 20-22 Feb, 2017

• Mathematics and Finance Summer School at CMI - 20 May 2019 to 21 June, 2019

Summer School 2018

• Date : 20 May 2019 to 21 June, 2019

• Venue : CMI

• You should come with your laptop.

• Familiarity with R is not required, but will be helpful.

• It is assumed that you have a working installation of the R software and of the following R-Packages.
  • tseries
  • copula
  • PortRisk

• You can use the following code in the command prompt or R-console to install the packages: install.packages(c("tseries","copula","PortRisk"))

• Also, we firmly suggest that you should install R-Studio (after installing the base-R).

• Install R and R-Studio for Mac

• Install R and R-Studio for Windows

Topics

• Introduction to R
  • Code
  • Introduction to Function in R Click Here
• Random Walk Hypothesis
  • Code
• Simulate from Geometric Brownian Motion
  • Code
• Efficient Frontier
  • Code
• Portfolio Optimization
  • Code
• Capital Asset Pricing Model
  • Code
  • stock_treasury.csv
• Volatility Risk, GARCH Model with R
  • Code
• Value at Risk
• Copula Models with R
  • Code
• European Options
  • Code
• Binomial Option Pricing Model with
• Black-Scholes and Applications

Contact:

sourish at cmi dot ac dot in