« September 2011 | Main

October 30, 2011

fall assignment

I have posted my solution to the fall assignment. I have also posted notes from our discussion of the implied distribution from options prices.

I will organize a review session in December for the exam on December 22. Enjoy the other modules in the meantime!

Posted by John Dodson at 7:40 PM |

October 18, 2011

assistance with the fall assignment

I have written the shell of a MATLAB script to get you started on the fall assignment.

Posted by John Dodson at 10:33 AM |

October 12, 2011

MLE case

Here is the code for today's MLE case.

Posted by John Dodson at 9:25 PM |

October 7, 2011

reading for Oct. 12

Please remember to read the paper before our next session on 10/12:

Measuring and Testing the Impact of News on Volatility, Robert F. Engle and Victor K. Ng, The Journal of Finance, Vol. 48, No. 5 (Dec., 1993) (pp. 1749-1778).

Posted by John Dodson at 10:44 AM |

October 6, 2011

new posts; TA hours

I have posted the discussion of the "sqrt-rule" for scaling invariants.

I have also updated the syllabus to indicate Nick's new office hours 7-8:30 on Mondays.

Posted by John Dodson at 9:43 PM |