Lecture Notes & Class Exercises

All materials used in the lectures are available from this page. The lecture notes themselves are Powerpoint presentations and Exercises are Excel Spreadsheets. Note that some of the spreadsheets contain macros which must be enabled and the spreadsheets must saved and run from your harddisk to work correctly.
Right click on the link and use Save Target As.

Suggested Reading: Paul Wilmott Introduces Quantitative Finance

Lecture 1: An Introduction to the core principles and methods
Lecture 1 Slides
Lecture 1 Class Exercise
Lecture 1 Class Exercise ANSWERED
VBA Exercise 1 (Optional)
Advanced VBA Exercise 1 (Very Optional)

Lecture 2: Measuring Risk
Lecture 2 Slides
Lecture 2 Class Exercise
Lecture 2 Class Exercise ANSWERED
VBA Exercise 2 (Optional)

Lecture 3: Constrained Efficient Frontiers
Lecture 3 Slides
Lecture 3 Class Exercise

Lecture 4: Estimating The Covariance Matrix
Lecture 4 Slides
Lecture 4 Class Exercise
Lecture 4 Class Exercise ANSWERED

Lecture 5: Value At Risk Part 1
Lecture 5 Slides
Lecture 5 Class Exercise
Lecture 5 Class Exercise ANSWERED
Risk Metrics Technical Documentation (Original)

Lecture 6: Value At Risk Part 2
Lecture 6 Slides
Lecture 6 Class Exercise
Lecture 6 Class Exercise ANSWERED

Lecture 7: Simulations
Lecture 7 Slides
Lecture 7 Class Exercise
Lecture 7 Class Exercise ANSWERED

Lecture 8: Asset Liability Modelling
Lecture 8 Slides
Lecture 8 Class Exercise

Lecture 9: Auto-Correlated Risks
Lecture 9 Slides
Lecture 9 Class Exercise

Lecture 10: Extreme Value Theory
Lecture 10 Slides
Lecture 10 Class Exercise