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March 29, 2009

last assignment

I have posted the last assignment.

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/

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.

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.

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.

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/

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.