October 30, 2011

fall assignment

I have posted my solution to the fall assignment. I have also posted notes from our discussion of the implied distribution from options prices.

I will organize a review session in December for the exam on December 22. Enjoy the other modules in the meantime!

October 18, 2011

assistance with the fall assignment

I have written the shell of a MATLAB script to get you started on the fall assignment.

October 12, 2011

MLE case

Here is the code for today's MLE case.

October 7, 2011

reading for Oct. 12

Please remember to read the paper before our next session on 10/12:

Measuring and Testing the Impact of News on Volatility, Robert F. Engle and Victor K. Ng, The Journal of Finance, Vol. 48, No. 5 (Dec., 1993) (pp. 1749-1778).

October 6, 2011

new posts; TA hours

I have posted the discussion of the "sqrt-rule" for scaling invariants.

I have also updated the syllabus to indicate Nick's new office hours 7-8:30 on Mondays.

September 22, 2011

Pareto tail

Below is more general Pareto characterization of the left tail of a random variable.


Two of the new parameters come from the affine transformation (shift and scale), while the theta represents the parameter of the Bernoulli mixing variable.

conditioning and regression

I posted my discussion notes from out case about conditional expectation, including the observation about the connection with OLS regression.

September 13, 2011

A different format of the link below


September 11, 2011

second try for embedded PDF...

The image from the link below

September 9, 2011

hint for demonstration on mixtures


September 7, 2011

Welcome to John's class blog

I will use this forum for annoncements, and you are welcome to use it for public feedback. I encourage you to check it often. You may want to add it to your RSS feed.

March 2, 2011

final project

Thanks for your project submissions. I have posted a version of my solution on the class website if you are interested.

January 5, 2011

first FM5032 session

Welcome back from the break! I am your instructor for the first six weeks of FM5032. I will be in town for our first formal session on Sunday, January 23; but I would like to hold a UMConnect session at 5:30 PM on Wenesday, January 19 to discuss the final and provide a preview for the second half. Our TA will host this session in MechE018 Physics (Tate) 131 if you would like to attend in person.

November 29, 2010

final and review session

The final for FM5031 will be on Wednesday, December 22. I will be holding a review session for my module on Sunday, December 12, at 2:00 PM in Ford Hall B10. The final is worth 25% of my module's grade.

October 18, 2010

GARCH notes typo

I discovered a typo in the notes on GARCH from last week. In the expression for the unconditional variance, the γ should be γ2. The difference should not affect your homework results too much; but if you have time to re-do it with a more correct expression for ω, please do so.