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March 29, 2009

last assignment

I have posted the last assignment.

Posted by John Dodson at 8:03 PM | | Comments (0)

March 25, 2009

office hours

Let's continue to use the conference line and UMConnect for office hours on Wednesdays. I will join in at 5:30 PM.
conference line
218-339-3600
access code
1051589#
web meeting
https://umconnect.umn.edu/r42787267/

Posted by John Dodson at 12:29 PM | | Comments (0)

March 23, 2009

update to notes

I have updated the notes we have been using to include the derivation of the pure-discount call value under the gaussian model.
Also, the link to the Mathematica code I used for the solution to the assignment is here.

Posted by John Dodson at 10:04 PM | | Comments (0)

March 8, 2009

Assignment 1 solution

I have posted the solution that I presented. I will post the Mathematica code later this week and write up the derivation of the pure discount call valuation under the affine model.

Posted by John Dodson at 10:42 PM | | Comments (0)

March 3, 2009

last four sessions

We have our regular EE/CS 2-260 from 5:00 to 8:20 PM on the Sundays March 8, 22, 29, and April 5.

Posted by John Dodson at 9:03 AM | | Comments (0)

March 2, 2009

office hours for Wedneday March 4

If you would like to participate in office hours this week, I have arranged a conference line and a web meeting for us which I will join at 5:30 PM.
conference line
218-339-3600
access code
1051589#
web meeting
https://umconnect.umn.edu/r42787267/

Posted by John Dodson at 9:05 PM | | Comments (0)

March 1, 2009

continuous coupons

The assigment asks you to work with a bond with a continuous coupon. Formally, this means that 'tau = t'. Interest is paid in each moment 'dt' at a rate which you will determine. If you prefer to work instead with a discrete coupon payment schedule such as daily or quarterly or semi-annually, this is fine; but please be clear about your intention.

You should not assume that this is a zero-coupon bond.

Posted by John Dodson at 3:50 PM | | Comments (0)