FM 5031/2 http://blog.lib.umn.edu/dodso013/finmath/ instructor notes from financial mathematics practitioner sequence module en Copyright 2013 Sun, 30 Oct 2011 19:40:35 -0600 http://www.sixapart.com/movabletype/?v=4.31-en http://blogs.law.harvard.edu/tech/rss 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!

]]> http://blog.lib.umn.edu/dodso013/finmath/2011/10/fall_assignment_2.html http://blog.lib.umn.edu/dodso013/finmath/2011/10/fall_assignment_2.html 11-12 Sun, 30 Oct 2011 19:40:35 -0600 assistance with the fall assignment I have written the shell of a MATLAB script to get you started on the fall assignment.

]]> http://blog.lib.umn.edu/dodso013/finmath/2011/10/assistance_with_the_fall_assig.html http://blog.lib.umn.edu/dodso013/finmath/2011/10/assistance_with_the_fall_assig.html 11-12 Tue, 18 Oct 2011 10:33:25 -0600 MLE case Here is the code for today's MLE case.

]]> http://blog.lib.umn.edu/dodso013/finmath/2011/10/mle_case.html http://blog.lib.umn.edu/dodso013/finmath/2011/10/mle_case.html 11-12 Wed, 12 Oct 2011 21:25:03 -0600 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).

]]> http://blog.lib.umn.edu/dodso013/finmath/2011/10/reading_for_oct_12.html http://blog.lib.umn.edu/dodso013/finmath/2011/10/reading_for_oct_12.html 11-12 Fri, 07 Oct 2011 10:44:39 -0600 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.

]]> http://blog.lib.umn.edu/dodso013/finmath/2011/10/new_posts_ta_hours.html http://blog.lib.umn.edu/dodso013/finmath/2011/10/new_posts_ta_hours.html 11-12 Thu, 06 Oct 2011 21:43:42 -0600 Pareto tail Below is more general Pareto characterization of the left tail of a random variable.

img

Two of the new parameters come from the affine transformation (shift and scale), while the theta represents the parameter of the Bernoulli mixing variable.

]]> http://blog.lib.umn.edu/dodso013/finmath/2011/09/pareto_tail.html http://blog.lib.umn.edu/dodso013/finmath/2011/09/pareto_tail.html 11-12 Thu, 22 Sep 2011 19:52:09 -0600 conditioning and regression I posted my discussion notes from out case about conditional expectation, including the observation about the connection with OLS regression.

]]> http://blog.lib.umn.edu/dodso013/finmath/2011/09/conditioning_and_regression.html http://blog.lib.umn.edu/dodso013/finmath/2011/09/conditioning_and_regression.html 11-12 Thu, 22 Sep 2011 19:47:06 -0600 A different format of the link below img

]]> http://blog.lib.umn.edu/dodso013/finmath/2011/09/a_different_format_of_the_link.html http://blog.lib.umn.edu/dodso013/finmath/2011/09/a_different_format_of_the_link.html 11-12 Tue, 13 Sep 2011 16:40:51 -0600 second try for embedded PDF... The image from the link below

]]> http://blog.lib.umn.edu/dodso013/finmath/2011/09/second_try_for_embedded_pdf.html http://blog.lib.umn.edu/dodso013/finmath/2011/09/second_try_for_embedded_pdf.html 11-12 Sun, 11 Sep 2011 20:07:13 -0600 hint for demonstration on mixtures fall1-21

]]> http://blog.lib.umn.edu/dodso013/finmath/2011/09/hint_for_demonstration_on_mixt.html http://blog.lib.umn.edu/dodso013/finmath/2011/09/hint_for_demonstration_on_mixt.html 11-12 Fri, 09 Sep 2011 22:21:13 -0600 Welcome to John's class blog I will use this forum for annoncements, and you are welcome to use it for public feedback. I encourage you to check it often. You may want to add it to your RSS feed.

]]> http://blog.lib.umn.edu/dodso013/finmath/2011/09/welcome_to_johns_class_blog.html http://blog.lib.umn.edu/dodso013/finmath/2011/09/welcome_to_johns_class_blog.html 11-12 Wed, 07 Sep 2011 09:32:49 -0600 final project version of my solution on the class website if you are interested.]]> http://blog.lib.umn.edu/dodso013/finmath/2011/03/final_project.html http://blog.lib.umn.edu/dodso013/finmath/2011/03/final_project.html 10-11 Wed, 02 Mar 2011 20:26:53 -0600 first FM5032 session Welcome back from the break! I am your instructor for the first six weeks of FM5032. I will be in town for our first formal session on Sunday, January 23; but I would like to hold a UMConnect session at 5:30 PM on Wenesday, January 19 to discuss the final and provide a preview for the second half. Our TA will host this session in MechE018 Physics (Tate) 131 if you would like to attend in person.

]]> http://blog.lib.umn.edu/dodso013/finmath/2011/01/first_fm5032_session.html http://blog.lib.umn.edu/dodso013/finmath/2011/01/first_fm5032_session.html 10-11 Wed, 05 Jan 2011 15:01:53 -0600 final and review session The final for FM5031 will be on Wednesday, December 22. I will be holding a review session for my module on Sunday, December 12, at 2:00 PM in Ford Hall B10. The final is worth 25% of my module's grade. http://blog.lib.umn.edu/dodso013/finmath/2010/11/final_and_review_session.html http://blog.lib.umn.edu/dodso013/finmath/2010/11/final_and_review_session.html 10-11 Mon, 29 Nov 2010 21:58:17 -0600 GARCH notes typo notes on GARCH from last week. In the expression for the unconditional variance, the γ should be γ2. The difference should not affect your homework results too much; but if you have time to re-do it with a more correct expression for ω, please do so. ]]> http://blog.lib.umn.edu/dodso013/finmath/2010/10/garch_notes_typo.html http://blog.lib.umn.edu/dodso013/finmath/2010/10/garch_notes_typo.html 10-11 Mon, 18 Oct 2010 18:53:31 -0600