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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.

Posted by John Dodson at 9:11 PM |

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.

Posted by John Dodson at 10:04 PM |

October 1, 2008

MLE example

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

Posted by John Dodson at 9:18 PM |

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.

Posted by John Dodson at 9:33 AM |

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.

Posted by John Dodson at 8:29 AM |

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.

Posted by John Dodson at 10:46 PM |