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

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.

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.

I discovered a typo in the notes on GARCH from last week. In the expression for the unconditional variance, the γ should be γ^{2}. 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.

The fall assignment is now available. It is due at the beginning of the session on October 27.

Our next session will be on Sunday, October 3rd. Since I will be in Minneapolis, I will not be broadcasting over UMConnect or using the conference line.

Here is the code I used last night to plot the yield to redemption for a bond with a continuous coupon:

y=@(T,P,c)fzero(@(y)c/y+(1-c/y)*exp(-y*T)-P,c);

fplot(@(T)y(T,1.02,0.04),[1 10])