Topics in Mathematics with Applications in Finance

Case Studies

Some of the case studies use R, a free software environment for statistical computing and graphics. It compiles and runs on a wide variety of UNIX platforms, Windows and MacOS. For more information and to download the software, visit The R Project for Statistical Computing site.

LEC #	TOPICS	CASE STUDIES	ASSOCIATED FILES
6	Regression Analysis	Case Study 1: Linear Regression Models for Asset Pricing (PDF - 2.0MB)	R Instructions (TXT) fm_casestudy_0_InstallOrLoadLibraries (R) fm_casestudy_1_0 (R) fm_casestudy_1_rcode (R)
		Case Study 2: Linear Regression Models for Exchange Rate Regimes (PDF)	R Instructions (TXT) fm_casestudy_0_InstallOrLoadLibraries (R) fm_casestudy_fx_1 (R) fm_casestudy_2_rcode (R) fred_fxrates (TXT)
8	Time Series Analysis	Case Study 3: Time Series Analysis of 10-Year U.S. Treasury Yields (PDF)
9	Volatility Modeling	Case Study 4: Volatility Modeling of Exchange Rate Returns (PDF - 1.8MB)
11	Time Series Analysis II	Case Study 5: VAR Models of Macro Economic Time Series (PDF)
14	Portfolio Theory	Case study 6: Portfolio Theory (PDF)	Case Study Plots: Simulation (PDF) Case Study Plots: U.S. ETFS 2009-2013, Max Alloc 0.30 (PDF) Case Study Plots: U.S. ETFS 2009-2013, Max Alloc 0.15 (PDF) Case Study Plots: U.S. ETFs 2003-2006, Max Alloc 0.30 (PDF) Case Study Plots: U.S. ETFs 2003-2006, Max Alloc 0.15 (PDF)
15	Factor Modeling	Case Study 7: Factor Modeling of U.S. Treasury Yields (PDF - 3.3MB)