Have you used R to help you understand the quantitative material in ST9 as recommended in the Core Reading? If not, here are some useful links: Wikipedia link to R: http://en.wikipedia.org/wiki/R_(programming_language) Link to QRMlib repository: http://cran.r-project.org/web/packages/QRMlib/index.html Documentation of functions in the QRMlib library: http://cran.r-project.org/web/packages/QRMlib/QRMlib.pdf If you have used R - please let us know how you got on with it and if you did find it useful.
I'm finding it hard enough just to get through the course without having to learn a new programming language as well. I didn't really understand some of the mathematical bits on first reading though. Is R really necessary?
R scripts Not strictly necessary but it may help some of the theory to become a little more concrete for you by running R examples. There are some scripts included with QRMlib that enable you to see how a number of the examples in the book can be generated in R. On my unix machine they're in /usr/local/lib/R/library/Chap4 and so on. They can be copied and pasted into R even if you don't know much about R. Another program worth knowing about for the time series work is gretl, the Gnu Regression, Econometrics and Time-series Library (http://gretl.sourceforge.net/). Easier to use than R for GARCH examples.
