May 10, 2010

exam instructions

The spring semester final for the financial mathematics practitioner sequence will take place in Physics 170 starting at 5:30 PM on Wednesday, May 12. It will be a one-hour in-class examination. The exam grade is worth 25% of the module grade, which in turn is worth 40% of the total grade for the semester Practitioner course FM5032.

The exam will be administered and proctored by Hallie Elich and two other proctors. The exam will be open-book and open-notes, which means you can bring in any books and notes that you feel you might need. None of the solutions will require you to use a computer or a calculator.

May 8, 2010

UMConnect recordings

UMConnect was upgraded on March 14, and the links to the session recordings were severed. I became aware of this on Thursday. This morning I was able to restore the links. Let me know if you have any trouble accessing them.

May 4, 2010

final review session

I will be holding a review session next Sunday, May 9th, over UMConnect starting at 7 PM. The final is scheduled for 5:30 PM on Wed, May 12th in Physics 170.

January 21, 2010


Here is a link to the instructions for the group assignment this term.

December 29, 2009

Review session - 1/17

I will be hosting (in person) a review session on Sunday January 17 starting at 7 PM in Vincent Hall 2. We will survey the material from the first semester and go over the final. You are welcome to attend.

Otherwise, I will see you (from on-line) at our first session on Wednesday January 20 where will will get right into the material in Meucci chapter 5.

December 19, 2009

Solution to Fall final

Thanks again for your effort at your exam yesterday. I have posted the solution.

December 8, 2009

fall final

The final is scheduled for Dec. 18 in Physics 131. It will be open book. You can read more about the exam here.

December 3, 2009

Fall Final - Fri Dec 18

The Fall semester final for FM5031 will be held at 5:30 PM on Friday, December 18 in the usual classroom Physics 131. More information will be available next Wednesday.

October 30, 2009

fall assignment solution

I have posted the solution to the fall assignment. Thank you for all of your work. I will try to get them graded in the next week or so.

October 25, 2009

office hours transcript

Here is the contents of the chat window from tonight.

October 22, 2009

amendment to assignment Q1

I mentioned at the lecture yesterday that for our purposes you can ignore interest rates in the estimation of the market price of risk.

adjustment to assignment Q4

For the last question, since X1/X2 is singular when the conditioning event is {X2=0}, rather than plotting the conditional expectation of X1/X2, plot the two curves given by the conditional expectation of (X1, X2).

October 18, 2009

Amendment to assignment

For the third question on the fall assignment, you can assume that all of the variances are one.

October 14, 2009

Fall assignment

I have posted the fall assignment. It is due in two weeks on the Oct. 28 at 5:30 PM CT.

October 6, 2009

TGARCH materials for next week

For next week's project session, we will use the same dataset as for this week's exercise, weekly S&P 500 log total returns for five years through Oct. 5, 2009.
The primary reference for the asymmetric conditional heteroskedasticity model, by Jean-Michel Zakoian, is available through the University Library by following this DOI link.

September 23, 2009

conditional expectation & regression

Here is my write-up from today's exercise about conditional expectation.

September 21, 2009

missed office hours yesterday

I am very sorry that I missed office hours yesterday. If you would like to discuss anything or have any questions, please send me a note or leave a comment.

September 16, 2009

write-up of case for session two

Here is a link to the write-up. The true value for the upper bound was 54.0. Based on the dataset, the minimum-width 50% confidence region was 52.3 to 54.2, which (luckily) contained the true value.

Per the instructions last week...

please drop an introductory note in my dropbox if you have not already done so.

September 10, 2009

netfiles activation for dropbox

I believe you need to go to to "activate" your netfiles account before you can use my dropbox.

September 9, 2009

yield exercise from 9/9

Here is my write-up of the bond yield exercise.

September 7, 2009


Welcome to the first module of FM5031. I will use this blog to communicate with you about sessions, assignments, and updates to class materials. Please check here often, or consider subscribing to the RSS feed.