Columbia - IEOR - 4500

IEOR 4500 Introduction to Portfolio OptimizationReferences: The classical reference is Portfolio Selection: Efficient Diversification of Investments, by Harry Markowitz. A more modern reference is: Modern Portfolio Theory and Investment Analysis, by Elto

Columbia - IEOR - 4731

IEOR E4731: Credit Risk and Credit DerivativesLecture 01: Default risk, credit risk and the risk structure of interest ratesNotes originally written by Prof. Rama ContInstructor: Xuedong HeSpring, 20121 / 23The term structure of interest rates1$ at

Columbia - IEOR - 4731

IEOR E4731: Credit Risk and Credit DerivativesLecture 02: Market for credit riskNotes originally written by Prof. Rama ContInstructor: Xuedong HeSpring, 20121 / 28Credit derivativesDerivative instruments with payoffs linked to the occurrence of a c

Columbia - IEOR - 4731

IEOR E4731: Credit Risk and Credit DerivativesLecture 03: Risk Neutral Pricing. Basic arbitrage relations.Notes originally written by Prof. Rama ContInstructor: Xuedong HeSpring, 20121 / 28Single-name credit derivativesSingle-name credit derivative

Columbia - IEOR - 4731

IEOR E4731: Credit Risk and Credit DerivativesLecture 04: Structural models of default.Notes originally written by Prof. Rama ContInstructor: Xuedong HeSpring, 20121 / 46Capital structure of a firmThe structural approach to default modeling was ini

Columbia - IEOR - 4731

IEOR E4731: Credit Risk and Credit DerivativesLecture 05: Reduced form models.Notes originally written by Prof. Rama ContInstructor: Xuedong HeSpring, 20121 / 40Reduced form modelsStructural models have strong economic meaning but are not applicabl

Columbia - IEOR - 4731

IEOR E4731: Credit Risk and Credit DerivativesLecture 06: Pricing CDSNotes originally written by Prof. Rama ContInstructor: Xuedong HeSpring, 20121 / 32Pricing CDSIn this lecture, we are going to use reduced form models to price CDS We need to deci

Columbia - IEOR - 4731

IEOR E4731: Credit DerivativesLecture 07: Risk Management of CDSNotes originally written by Prof. Rama ContInstructor: Xuedong HeSpring, 20121 / 10Risk Management of Credit DerivativesSuppose a dealer sells a CDS contract on FIAT to a customer who

Columbia - IEOR - 4731

IEOR E4731: Credit DerivativesLecture 08: CDS Indices, Forwards, and SwaptionsNotes originally written by Prof. Rama ContInstructor: Xuedong HeSpring, 20121 / 29Cash Flow Structure of CDS Portfolio Indices2 / 29Value of the protection legLet T be

Columbia - IEOR - 4726

Experimental FinanceExperimental Finance Course PackageMike Lipkin Pankaj Mody Marco Santoli (TA)mdl2117@columbia.edu pm2655@columbia.edu ms4164@columbia.eduMike Lipkin, Alexander StantonPage 1 of 20Experimental FinanceTable of ContentsExperimenta

Columbia - IEOR - 4726

Experimental Finance IEOR Spring 2012Mike Lipkin, Pankaj ModyLecture 1FThe Market (Reality) What is experimental finance? A better term might be empirical finance. In this course we will not take for granted any equilibrium result from standard option

Columbia - IEOR - 4726

Experimental Finance IEOR Columbia University Mike Lipkin, Pankaj ModyOutline Why? Laboratory Focus IVY Database Initial Setup and Using the Databasehttp:/www.modusinc.com/experimentalFinanceExperimental Finance Mike Lipkin, Alexander Stanton Page 2W

Columbia - IEOR - 4726

Experimental Finance IEOR Department Mike Lipkin, Pankaj ModyHousekeeping Lab/home connectivity? Problem Set 2 due next week Office Hours 5:15pm to 8:00pm in Rm 318 (if the main door is locked, call 212-854-2987) Also due next week, ONE person from ea

Columbia - IEOR - 4726

Experimental Finance IEOR Spring 2012 Mike Lipkin, Pankaj ModyLecture 3fPinning KO last week pinning to 67.50 (weeklies)2/2/12Experimental FinanceMike Lipkin, Alexander StantonPage 2Lecture 3fPinningExperimental FinanceMike Lipkin, Alexander Stan

Columbia - IEOR - 4726

Experimental Finance, IEOR Mike Lipkin, Pankaj ModyHousekeeping Make sure your tables/views/functions are prefixed with UNI ID One zip file please, containing other files This week s winner is: One PDF with an excel file, zipped, 49kb This week s virtua

Columbia - IEOR - 4726

Experimental Finance IEOR Spring 2012 Mike Lipkin, Pankaj ModyLecture 5fDynamicsConsider the following scenarios: Stock XYZ; price, S0= 50.00; 3 weeks to go to expiration. Earnings date: 4 weeks away. For concreteness, we take the front month options t

Columbia - IEOR - 4726

Experimental Finance IEOR Mike Lipkin, Pankaj ModyOutline Problem set notes SQL statements continued Functions Stored Procedures Input/Output parameters Variable Declarations CursorsExperimental FinanceMike Lipkin, Alexander StantonPage 2Problem Set

Columbia - IEOR - 4726

Experimental Finance IEOR Spring 2012 Mike Lipkin, Pankaj ModyLecture 7fHard-To-Borrows Today I want to discuss a difficult, and often very lucrative but scary group of stocks. These are called: hard-to-borrow. Before I do that, I want to spend some ti

Columbia - IEOR - 4726

Experimental Finance IEOR Spring 2012 Mike Lipkin, Pankaj ModyLecture 8fTake-Overs From time to time stocks are acquired for cash, stock, or some combination of the two. There are many scenarios for these deals: Big buyer, small target Equals Take-und

Columbia - IEOR - 4726

Ivy DBFile and Data Reference ManualVersion 2.5Rev. 5/5/2005The material contained in this document is confidential and proprietary to OptionMetrics LLC. The names "OptionMetrics" and "Ivy DB" are registered trademarks of OptionMetrics LLC. Copyright

Columbia - IEOR - 4602

IEOR E4602: Quantitative Risk Management c 2012 by Martin HaughSpring 2012Basic Concepts and Techniques of Risk ManagementWe introduce the basic concepts and techniques of risk management in these lecture notes. We will closely follow the content and n

Columbia - IEOR - 4602

Copulas and DependencyIEOR E4602: Quantitative Risk managementInstructor: Martin Haugh Slides for QRM 2012Copulas and Dependency2Why Study Copulas? Copulas separate the marginal distributions from the dependency structure. Copulas help expose the fal

Columbia - IEOR - 4602

Contents1Coping with CopulasThorsten Schmidt1Department of Mathematics, University of Leipzig Dec 2006 Forthcoming in Risk Books "Copulas - From Theory to Applications in Finance"Contents1 Introdcution 2 Copulas: first definitions and examples 2.1 S

Columbia - IEOR - 4602

IEOR E4602: Quantitative Risk Management c 2012 by Martin HaughSpring 2012Dimension Reduction TechniquesWe study dimension reduction techniques in these notes focusing in particular on principal components analysis (PCA) and factor models. We will gene

Columbia - IEOR - 4602

Quantitative Risk ManagementQuantitative Risk Management: Concepts, Techniques and Tools is a part of the Princeton Series in FinanceSeries Editors Darrell Duffie Stanford University Stephen Schaefer London Business SchoolFinance as a discipline has be

Columbia - IEOR - 4602

IEOR E4602: Quantitative Risk Management c 2012 by Martin HaughSpring 2012Model RiskWe discuss model risk in these notes, mainly by way of example. We emphasize (i) the importance of understanding the physical dynamics and properties of a model (ii) th

Columbia - IEOR - 4602

IEOR E4602: Quantitative Risk Management c 2012 by Martin HaughSpring 2012Multivariate DistributionsWe will study multivariate distributions in these notes, focusing1 in particular on multivariate normal, normal-mixture, spherical and elliptical distri

Columbia - IEOR - 4602

IEOR E4602: Quantitative Risk Management c 2012 by Martin HaughSpring 2012Risk Measures, Risk Aggregation and Capital AllocationWe consider risk measures, risk aggregation and capital allocation in these lecture notes and build on our earlier introduct

Columbia - IEOR - 4602

IEOR E4602: Quantitative Risk management c 2012 by Martin HaughSpring 2012Typos / Errors in "Coping With Copulas"1. The derivation of equation (5) on page 4 doesn't follow because Fi Fi (y) y. It holds for continuous marginals in which case it may be s

SUNY Albany - AECO - 355

1. The government of Westlovakia has just reformed its social security system. Thisreform changed two aspects of the system: (1) It abolished its actuarial reductionfor early retirement, and (2) it reduced the payroll tax by half for workers whocontinu

Waterloo - STAT - 340

Tutorial 6Question 1Which of the following codeuses control variates toestimate theta?A.u=runif(1000)x=exp(1/x)mean(x)B.u=runif(1000)x=exp(1/x+x)+(e-1)/emean(x)C.u=runif(1000)x=exp(x)mean(x)D.u=runif(1000)x=exp(1/x)-exp(-x)+(e-1)/emean

Alaska Bible - ECON - 101

(d) a recession.Chapter 1: Introduction to MacroeconomicsAnswer: AThe two major reasons for the tremendous growth in output in theU.S. economy over the last 125 years are(a) population growth and low inflation.(b) population growth and increased pro

Alaska Bible - ECON - 101

Chapter 1Introduction to MacroeconomicsT Multiple Choice Questions1.The two major reasons for the tremendous growth in output in the U.S. economy over the last125 years are(a) population growth and low inflation.(b) population growth and increased

Alaska Bible - ECON - 101

Chapter 2The Measurement and Structureof the National EconomyT Multiple Choice Questions1.The three approaches to measuring economic activity are the(a) cost, income, and expenditure approaches.(b) product, income, and expenditure approaches.(c) c

Alaska Bible - ECON - 101

Chapter 2The Measurement and Structureof the National EconomyT Multiple Choice Questions1.The three approaches to measuring economic activity are the(a) cost, income, and expenditure approaches.(b) product, income, and expenditure approaches.(c) c

Alaska Bible - ECON - 101

Chapter 3Productivity, Output, and EmploymentT Multiple Choice Questions1.A mathematical expression relating the amount of output produced to quantities of capital and laborutilized is the(a) real interest rate.(b) productivity relation.(c) produc

Alaska Bible - ECON - 101

Chapter 4Consumption, Saving, and InvestmentT Multiple Choice Questions1.Desired national saving equals(a) Y Cd G.(b) Cd+ Id+ G.(c) Id+ G.(d) Y Id G.Answer: ALevel of difficulty: 1Section: 4.12.With no inflation and a nominal interest rate (i

Alaska Bible - ECON - 101

Chapter 4Consumption, Saving, and InvestmentT Multiple Choice Questions1.Desired national saving equalsd(a) Y C G.dd(b) C + I + G.d(c) I + G.d(d) Y I G.Answer: ALevel of difficulty: 1Section: 4.12.With no inflation and a nominal interest

Alaska Bible - ECON - 101

Chapter 6Long-Run Economic GrowthT Multiple Choice Questions1.Between 1870 and 1996, among the United States, Germany, Japan, and Australia, _ grew atthe fastest rate and _ grew at the slowest rate.(a) the United States; Germany(b) Germany; the Uni

Alaska Bible - ECON - 101

Chapter 6Long-Run Economic GrowthT Multiple Choice Questions1.Between 1870 and 1996, among the United States, Germany, Japan, and Australia, _ grew atthe fastest rate and _ grew at the slowest rate.(a) the United States; Germany(b) Germany; the Uni

Alaska Bible - ECON - 101

Chapter 7The Asset Market, Money, and PricesT Multiple Choice Questions1.A disadvantage of the barter system is that(a) no trade occurs.(b) people must produce all their own food, clothing, and shelter.(c) the opportunity to specialize is greatly r

Alaska Bible - ECON - 101

Chapter 7The Asset Market, Money, and PricesT Multiple Choice Questions1.A disadvantage of the barter system is that(a) no trade occurs.(b) people must produce all their own food, clothing, and shelter.(c) the opportunity to specialize is greatly r

Alaska Bible - ECON - 101

Chapter 8Business CyclesT Multiple Choice Questions1.One of the first organizations to investigate the business cycle was(a) the Federal Reserve System.(b) the National Bureau of Economic Research.(c) the Council of Economic Advisors.(d) the Brook

Alaska Bible - ECON - 101

Chapter 8Business CyclesT Multiple Choice Questions1.One of the first organizations to investigate the business cycle was(a) the Federal Reserve System.(b) the National Bureau of Economic Research.(c) the Council of Economic Advisors.(d) the Brook

Alaska Bible - ECON - 101

Chapter 9The IS-LM/AD-AS Model: A GeneralFramework for Macroeconomic AnalysisT Multiple Choice Questions1.The FE line shows the level of output at which the _ market is in equilibrium.(a) Goods(b) Asset(c) Labor(d) MoneyAnswer: CLevel of diffic

Alaska Bible - ECON - 101

Chapter 9The IS-LM/AD-AS Model: A GeneralFramework for Macroeconomic AnalysisT Multiple Choice Questions1.The FE line shows the level of output at which the _ market is in equilibrium.(a) Goods(b) Asset(c) Labor(d) MoneyAnswer: CLevel of diffic

Alaska Bible - ECON - 101

Chapter 12Unemployment and InflationT Multiple Choice Questions1.The origin of the idea of a trade-off between inflation and unemployment was a 1958 article by(a) A.W. Phillips.(b) Edmund Phelps.(c) Milton Friedman.(d) Robert Gordon.Answer: ALev

Alaska Bible - ECON - 101

Chapter 12Unemployment and InflationT Multiple Choice Questions1.The origin of the idea of a trade-off between inflation and unemployment was a 1958 article by(a) A.W. Phillips.(b) Edmund Phelps.(c) Milton Friedman.(d) Robert Gordon.Answer: ALev

Alaska Bible - ECON - 101

Chapter 13Exchange Rates, Business Cycles,and Macroeconomic Policy in theOpen EconomyT Multiple Choice Questions1.The price of one currency in terms of another is called(a) the exchange rate.(b) purchasing power parity.(c) the terms of trade.(d)

Alaska Bible - ECON - 101

Chapter 1Ten Principles of EconomicsTRUE/FALSE1.Scarcity means that there is less of a good or resource available than people wish to have.ANS: TDIF: 1REF: 1-0NAT: AnalyticLOC: Scarcity, tradeoffs, and opportunity costTOP: ScarcityMSC: Definiti

Alaska Bible - ECON - 101

Chapter 2Thinking Like An EconomistTRUE/FALSE1.Economists try to address their subject with a scientists objectivity.ANS: TDIF: 1REF: 2-1NAT: AnalyticLOC: The study of economics and definitions of economicsTOP: EconomistsMSC: Definitional2.Ec

Alaska Bible - ECON - 101

Chapter 3Interdependence and the Gains from TradeTRUE/FALSE1.In most countries today, many goods and services consumed are imported from abroad, and many goods andservices produced are exported to foreign customers.ANS: TDIF: 1REF: 3-0NAT: Analyt

Alaska Bible - ECON - 101

Chapter 4The Market Forces of Supply and DemandTRUE/FALSE1.Prices allocate a market economys scarce resources.ANS: TDIF: 1REF: 4-0NAT: AnalyticLOC: Markets, market failure, and externalitiesTOP: Market economiesMSC: Definitional2.In a market

Alaska Bible - ECON - 101

Chapter 5Elasticity and Its ApplicationTRUE/FALSE1.Elasticity measures how responsive quantity is to changes in price.ANS: TDIF: 1REF: 5-0NAT: AnalyticLOC: ElasticityTOP: Price elasticity of demandMSC: Definitional2.Measures of elasticity enh

Alaska Bible - ECON - 101

Chapter 6Supply, Demand, and Government PoliciesTRUE/FALSE1.Economic policies often have effects that their architects did not intend or anticipate.ANS: TDIF: 1REF: 6-0NAT: AnalyticLOC: The study of economics and definitions of economicsTOP: Pub

Alaska Bible - ECON - 101

Chapter 7Consumers, Producers, and the Efficiency of MarketsTRUE/FALSE1.Welfare economics is the study of the welfare system.ANS: FDIF: 1REF: 7-1LOC: Supply and demandTOP: WelfareNAT: AnalyticMSC: Definitional2.The willingness to pay is the m

Alaska Bible - ECON - 101

Chapter 8Application: the Costs of TaxationTRUE/FALSE1.Total surplus is always equal to the sum of consumer surplus and producer surplus.ANS: FDIF: 2REF: 8-1NAT: AnalyticLOC: Supply and demandTOP: Total surplusMSC: Interpretive2.Total surplus

Alaska Bible - ECON - 101

Chapter 9Application: International TradeTRUE/FALSE1.Trade decisions are based on the principle of absolute advantage.ANS: FDIF: 1REF: 9-1NAT: AnalyticLOC: Gains from trade, specialization and tradeTOP: Absolute advantageMSC: Interpretive2.Th

Alaska Bible - ECON - 101

Chapter 10ExternalitiesTRUE/FALSE1.Markets sometimes fail to allocate resources efficiently.ANS: TDIF: 2REF: 10-0NAT: AnalyticLOC: Markets, market failure, and externalitiesTOP: Market failureMSC: Interpretive2.When a transaction between a bu

Alaska Bible - ECON - 101

Chapter 11Public Goods and Common ResourcesTRUE/FALSE1.When goods are available free of charge, the market forces that normally allocate resources in our economyare absent.ANS: TDIF: 2REF: 11-0NAT: AnalyticLOC: Markets, market failure, and exter

Alaska Bible - ECON - 101

Chapter 12The Design of the Tax SystemTRUE/FALSE1.The average American pays a higher percent of his income in taxes today than he would have in the late 18thcentury.ANS: TDIF: 1REF: 12-0NAT: AnalyticLOC: The role of government TOP:Tax burdenMS