Introductory Course 2008

S-PLUS Essentials for Finance

at ETH Zurich, September 8-12, 2008
 

Lecturer

Dr. Rodrigue Oeuvray (Insightful AG)

Course Description

S-PLUS Essentials for Finance is a hands-on training course that covers a broad spectrum of topics from importing data to fitting statistical models. At the conclusion of the course the student will have a working knowledge of the syntax of the S-PLUS language. Both traditional and trellis graphs will be explored. In addition to function writing in the context of graphing and statistics, the course will introduce the basic concepts of time series using tools from the Finance Metrics module for S-Plus 6.2 S+FinMetrics.

Course Objectives

Upon completing the S-PLUS Essentials for Finance, participants will know how S-PLUS can be used to:
  • Importing and exporting data
  • Create scatter plots, histograms, boxplots, quantile-quantile plots
  • Create multivariate Trellis graphs
  • Write vectorized command-line expressions
  • Fit and evaluate linear models
  • Retrieve data from S-PLUS data structures
  • Write and debug basic functions
  • Create data structures suitable for time series models
  • Perform basic time series analysis and have an overview of the capabilities of S+Finmetrics

Target Audience

  • Academic: Admitted MAS Finance students, selected Ph.D. students and faculty members of the University of Zurich and ETH Zurich.
  • Financial Industry: Risk managers, quants, actuaries in banking, insurance and general corporations, as well as RM experts in supervisory authorities. A basic knowledge of elementary probability and statistics is presupposed.

Course Content

  • Concepts and Introduction
    • Introduction to the Graphical User Interface
    • Graphical tools to assess normality
    • Exporting graphics
    • Command line syntax, object orientation
    • Data import and export
    • Data structures
  • Programming and Vectorization
    • More data structures
    • Functions and operators
    • Command-line graphics
    • Trellis graphics
    • Writing functions with style
    • Debugging and trouble shooting
  • Time Series Analysis
    • Data structures for time series
    • Time series concepts
    • Introduction and overview of S+Finmetrics
    • Last words: Managing your S-Plus session

Date, Location and Daily Schedule

September 8-12, 2008, in ETH main building, Rämistrasse 101, 8092 Zürich with appropriate coffee breaks.

Notes

The course consists of both lecture and hands-on instruction. Desktop PC's will be shared by academics during the practical sessions, representatives from the financial industry will have one for single use. Training manuals will also be provided during the course. These materials will be yours to keep.

Course Fee and Registration

  • Industry delegates: CHF 2,000 + 7.6% VAT = CHF 2,152
    Please contact Ms. Eveline Häner for registration.

  • MAS Finance students: Free of charge.
    Please contact Ms. Aline Strolz for registration.
    Deadline for registration Sept 4, 2008, at 12.00 o'clock.

  • Ph.D. students and faculty members of University/ETH Zurich: Free of charge, but limited availability.
    Please contact Ms. Aline Strolz to sign up for the waiting list.
    Deadline for registration Sept 4, 2008, at 12.00 o'clock.

Organizer

PD Dr. Erich Walter Farkas and Ms. Aline Strolz.

About the Lecturer

Dr. Rodrigue Oeuvray, Insightful AG

Dr. Rodrigue Oeuvray is a mathematician and has a PhD in Science from the Swiss Federal Institute of Technology at Lausanne (EPFL). He was a lecturer for a postgraduate course in the Lebanon (Lebanese University, Beirut, 2003 and 2004) about modelling and simulation and also for the master program in management of logistical systems (IML, International Institute for the Management of Logistics) at Lausanne (EPFL, 2004) and Paris (Ecole Nationale des Ponts et Chaussées, 2004). He has also worked for major banks in Switzerland and has been involved in several projects in risk management and in financial engineering. Rodrigue now works as a statistical consultant at Insightful Switzerland.
Academic Degrees
  • PhD in Science from the Swiss Federal Institute of Technology at Lausanne (EPFL), 2005.
  • EPF Engineer in Mathematics from EPFL, 2000.

Professional Experiences
  • BNP Paribas, Private Banking, Geneva, 2000
  • HSBC Republic, Risk Management, Geneva, 2000-2001
  • EPFL, Operations Research Group, Lausanne, 2001-2005
  • Insightful, Finance Team, Zürich, from 2005

Languages
  • French: mother tongue
  • English: advanced level, written and spoken fluently
  • German: good knowledge



[RiskLab] [ETH Finance Group] [Department of Banking and Finance] [NCCR-FINRISK] [CCFZ]