STAT241 PROJECT DUE 6/8/2009 1 Interest rate models: Problem 9.5 and 10.5 Before carrying out problem 9.5 (a) (b) (c) (d), you should plot the time series of three rates and their autocorrelation functions, and also, examine correspond-ing plots for the diﬀerenced series; see chapter 5. The same applies to problem 10.5. 2 Self-designed project in either statistical trading strategies or risk management (chapter 11 and 12). The project should involve some real data and come up with some conclusions. You can think of it as a research project in industry or in an academic journal. Don’t be too ambitious since you only have a month. Start with reading some literatures and try to reproduce results. Then try to think some original idea as extension of previous work. Purely original idea is of course welcomed and will be highly credited. The baseline is you can at least reproduce some result from others and make your own conclusion. First email your proposed project to Alex Deng ([email protected]) for ap-
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