« 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!

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.

October 12, 2011

MLE case

Here is the code for today's MLE case.

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).

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.