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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.

Posted by John Dodson at 8:26 PM | | Comments (0)

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.

Posted by John Dodson at 3:01 PM | | Comments (0)

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.

Posted by John Dodson at 9:58 PM | | Comments (0)

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.

Posted by John Dodson at 6:53 PM | | Comments (0)

October 17, 2010

fall assignment

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

Posted by John Dodson at 7:52 PM | | Comments (0)

September 28, 2010

next session will not be broadcast

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.

Posted by John Dodson at 11:14 PM | | Comments (0)

September 16, 2010

MATLAB for yield problem

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])

Posted by John Dodson at 9:41 AM | | Comments (0)