Jonathan,

the following two are good books on modern financial econometrics that apply
Splus, but many of the models can be run using the available R packages:

Ruey S. Tsay: Analysis of Financial Time Series, 2nd edition, Wiley 2005
http://www.amazon.com/gp/product/0471690740/103-9802291-8865453?v=glance&n=283155
and
Eric Zivot and Jiahui Wang: Modeling Financial Time Series with Splus, 2nd
edition, Springer 2006
http://www.amazon.com/gp/product/0387279652/103-9802291-8865453?v=glance&n=283155

Also, have a look at the documentation available on  the Rmetrics home page
http://www.itp.phys.ethz.ch/econophysics/R/

Hannu

Also, even though I have been a programmer for about
> 10 years now, I have done very little statistical
> analysis. Could anyone recommend a good book to start
> with on financial statistical analysis?
>
>

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