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Unformatted text preview: analysis, extracting implied volatility using Black-Scholes model, etc. Cons WHAT TO LEARN Basics Variable creation, declaration, assigning values to variables, random number generation and other pre-requisite skills required for simulation Vectors and matrixes Looping skills: ‘if’, ‘for’, ‘while’, and other looping skills Use vectors wherever possible. More cost- and time-efficient LET’S HIT THE WALL . ....... Data running procedure 1) Explore databases (e.g., CRSP, Compustat, Option metrics, Yahoo-finance, US-Treasury (Prof. French’s site or Treasury)) 2) Downloading time-series and/or cross-sectional data from the above D/Bs 3) Cleanse and process (e.g., with Access, Text Pad, STATA, SAS or any other packages comfortable for you) in order to kill or correct raw data which is either missing or wrong...
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- Winter '10
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- Numerical Analysis, Credit rating, Partial differential equation, Standard & Poor's, Credit rating agency, Yong Lee Lab
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