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September 25, 2008

script for first Fall assignment

As requested, I have posted the Mathematica script I wrote for the solutions to the first assignment.

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.

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.

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.

September 9, 2008


Starting tomorrow, we will be meeting in the Active Learning Classroom in EE/CS 2-260, which is one floor below grade two buildings east of Ford Hall.

September 4, 2008


The spring text for my module (Brigo & Mercurio) is in the Bookstore, but apparently not the text for this term.

The first two weeks are farily generic probability background; but you will definitely need the text for week three. Please see Meucci's website for guidance on how to order it. I believe Amazon carries it.


I have updated the syllabus to reference the course website, where I will be posting slides.

You may also pick up the slides directly from