M,W, F 1:25 -- 2:15, Hollister 110
Fridays at 1:25-2:15 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 1:00-2:00pm .
PDF files can be viewed using Acrobat Reader from Adobe. They can be printed on any postscript printer...
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Problem set # 1 : (postscript or pdf) |
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Problem set # 1 Solution : (postscript or pdf) |
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Problem set # 2 : (postscript) |
due on Friday March 13, 1998
You need the following m-files 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).
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Problem set # 2 Solution : ( postscript or (pdf) |
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Problem set # 3 : ( postscript) and data file (data.m) |
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Problem set # 4 : ( pdf format) |
(Note two small typos in question 3: the D matrix is nxm and the p vector is mx1)
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Module 1: Equity Options (Robert Jarrow) |
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Module 2: Valuation/Use of MATLAB (Tom Coleman) |
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Module 3: Equity Options /cont. (Robert Jarrow) |
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Module 4: Numerical solution for Black-Scholes equation (Tom Coleman) |
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Module 5: Bond Price Analytics (Robert Jarrow) |
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Module 6: Treasury Zero Curves (Robert Jarrow) |
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Module 7: Term Structure Models (Robert Jarrow) |
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Module 8: Matlab Bond Pricing Examples (Tom Coleman) |
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Module 9: Portfolio Theory (Robert Jarrow) |
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Module 10: Portfolio Optimization l (J.-F. Pusztaszeri) |
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Module 11: Portfolio Optimization ll (J.-F. Pusztaszeri) |
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Lab 6: Pricing Fixed Income Securities and Sensitivity Analysis |
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Jarrow & Turnbull, "Derivative Securities" |
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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.
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The office hours of Prof. Coleman are : 1-2pm Tuesdays, 647 Rhodes Hall |
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The office hours of Prof. Jarrow are : 11:30-1:00pm Mondays and Wednesdays, 520 Malott Hall |
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The office hours of Yohan Kim are : 3-4pm Wednesdays, 657 Rhodes Hall |
Jean-Francois 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.