M,W, F 1:25  2:15, Hollister 110
Fridays at 1:252:15 will be reserved for lab/problems.
(updated on August 19, 1999)
Problem set 4 is due on Friday, May 1st, 1998 .
For the RiskWatch software tutorials, please note a change of room and time:
Friday April 10 and April 17: Upson 5130 from 1:002:00pm .
PDF files can be viewed using Acrobat Reader from Adobe. They can be printed on any postscript printer...
Problem set # 1 : (postscript or pdf) 

Problem set # 1 Solution : (postscript or pdf) 

Problem set # 2 : (postscript) 
due on Friday March 13, 1998
You need the following mfiles for the second problem set :
blspricefdam.m, blspricefdamsig.m amcontour.m mysig.m mysig1.m compA.m timestepcallam.m timestepputam.m leastsq.m nlsq.m lsint.m graderr.m cubici1.m cubici2.m cubici3.m searchq.m (blspricefdam.m and blspricefdamsig.m are updated on Mar 4. If you downloaded them before, please get the latest version.)
If you have any probem, please send an email to Yohan Kim (yhkim@cam.cornell.edu).
Problem set # 2 Solution : ( postscript or (pdf) 

Problem set # 3 : ( postscript) and data file (data.m) 

Problem set # 4 : ( pdf format) 
(Note two small typos in question 3: the D matrix is nxm and the p vector is mx1)
Module 1: Equity Options (Robert Jarrow) 
Module 2: Valuation/Use of MATLAB (Tom Coleman) 
Module 3: Equity Options /cont. (Robert Jarrow) 

Module 4: Numerical solution for BlackScholes equation (Tom Coleman) 
Module 5: Bond Price Analytics (Robert Jarrow) 

Module 6: Treasury Zero Curves (Robert Jarrow) 

Module 7: Term Structure Models (Robert Jarrow) 

Module 8: Matlab Bond Pricing Examples (Tom Coleman) 

Module 9: Portfolio Theory (Robert Jarrow) 

Module 10: Portfolio Optimization l (J.F. Pusztaszeri) 

Module 11: Portfolio Optimization ll (J.F. Pusztaszeri) 
Lab 6: Pricing Fixed Income Securities and Sensitivity Analysis 
Jarrow & Turnbull, "Derivative Securities"  
Matlab Financial Toolbox User’s Guide (2 copies) 
The TA for this course is Yohan Kim (yhkim@cam.cornell.edu). Yohan will be in charge of the Friday labs and will be your main contact with regards to grading questions etc.
The office hours of Prof. Coleman are : 12pm Tuesdays, 647 Rhodes Hall  
The office hours of Prof. Jarrow are : 11:301:00pm Mondays and Wednesdays, 520 Malott Hall  
The office hours of Yohan Kim are : 34pm Wednesdays, 657 Rhodes Hall 
JeanFrancois Pusztaszeri (jfp@cs.cornell.edu) is a postdoctoral researcher who is available for help in this course.
Yuying Li (yuying@cs.cornell.edu) is a senior research associate who will be available for help in this course, especially regarding the Algorithmics software.