Main

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.

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.

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.

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.

October 17, 2010

fall assignment

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

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.

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])