Robert McDonald

Kellogg School of Management

COVID-related material

• Covid summary and underlying data

Derivatives Markets

Book-related resources

• Links to Errata for Derivatives Markets

  • 1st and 2nd editions

  • 3rd edition

• The Excel spreadsheet accompanying the book (xls version and xlsm version). Please be aware that while I believe they work correctly, I am not actively maintaining the spreadsheets anymore.

The derivmkts R package

I have written an R package, derivmkts, which is on CRAN. The functions resemble those in the Excel spreadsheet that accompanies the book.

• You can install the package with install.packages('derivmkts')

• There is a package overview (vignette)

• This shiny page illustrates the binomplot function in the package

  • If you are affiliated with Northwestern, you can use this link instead (requires an NU IP address)

• There is a github page for the package

R-related Resources

Books

• Long and Teetor (2020) Excellent “cookbook”
• Taveras (2016) The better your Excel skills, the more you will glean from this excellent book

Books available online

• Wickham and Grolemund (2017) https://r4ds.had.co.nz/
• Wickham (2014) http://adv-r.had.co.nz/
• Efron and Hastie (2016) https://web.stanford.edu/~hastie/CASI/
• Hastie, Tibshirani, and Friedman (2009) https://web.stanford.edu/~hastie/ElemStatLearn/
• James et al. (2013) http://www-bcf.usc.edu/~gareth/ISL/

Other resources

• Datacamp for the classroom is a program providing free limited time access to Datacamp for students taking data-related courses.

Words of Wisdom

Doc, note: I dissent. A fast never prevents a fatness. I diet on cod

References

Efron, Bradley, and Trevor Hastie. 2016. Computer Age Statistical Inference. Cambridge University Press. https://web.stanford.edu/ hastie/CASI/.

Hastie, Trevor, Robert Tibshirani, and Jerome Friedman. 2009. The Elements of Statistical Learning: Data Mining, Inference, and Prediction. Springer. https://web.stanford.edu/ hastie/ElemStatLearn/.

James, Gareth, Daniela Witten, Trevor Hastie, and Robert Tibshirani. 2013. An Introduction to Statistical Learning, with Applications in R. Springer. http://www-bcf.usc.edu/ gareth/ISL/.

Long, JD, and Paul Teetor. 2020. R Cookbook. 2nd ed. O’Reilly. https://learning.oreilly.com/library/view/r-cookbook-2nd/9781492040675/.

Taveras, John L. 2016. R for Excel Users: An Introduction to r for Excel Analysts. CreateSpace Independent Publishing Platform. https://leanpub.com/r-for-excelusers.

Wickham, Hadley. 2014. Advanced R. The R Series. Chapman & Hall/CRC. http://adv-r.had.co.nz/.

Wickham, Hadley, and Garrett Grolemund. 2017. R for Data Science. O’Reilly. http://r4ds.had.co.nz/.

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Last update: 2020-11-21

Robert McDonald, Finance Department, Kellogg School of Management, Northwestern University

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