April 6, 2009

G2++ tree

I found an error in my notebook from last night's demonstration, which I have fixed. Also, I have posted the code in the docs folder.

March 23, 2009

update to notes

I have updated the notes we have been using to include the derivation of the pure-discount call value under the gaussian model.
Also, the link to the Mathematica code I used for the solution to the assignment is here.

October 1, 2008

MLE example

The solution to this evening's MLE example is in the docs folder.

September 19, 2008

Summary of the financial crisis

Here is a good piece about the financial crisis out of the Chicago Graduate School of Business endorsed by the Freakonomics authors.

September 18, 2008

Copula example from lecture

I have posted the MATLAB code I used to demonstrate the solution to the last sample problem, the correlation of the bivaraite normal copula.

September 10, 2008

Monty Hall Problem

Wikipedia has a good treatment of the Monty Hall Problem, which is a classic example of Bayes' Rule in a discrete setting.