IEOR 4570 Machine Learning Homework#2
Uni: xg2185, Name: Xiao Guo
Q1:
(a)
(i) Use the function naiveBayes in the package e1071 to build the classifier. The data have 2171 observations,
and in this part we use the former 1800 data as the training data, the

IEOR 4721 Global Capital Markets Assignment#5
Uni: xg2185
Name: Xiao Guo
Question 1:
(a) The underlying asset is the value of the firm. Strike price is $50 and the maturity is 1 year.
(b) Assume the firm is worth S in one year, if S is less than $50, then

Machine Learning Assignment #1
Name: Xiao Guo, Uni:xg2185
Q1:
Nowadays, most industries are talking about Big Data. As there are more and more data being
generated, it is quite necessary to make the best use of it. Big data create values by creating trans

IEOR4721- Global Capital Markets
Name: Xiao Guo
Assignment #1
UNI: xg2185
Question 1:
A. NPVA=110*0.7+10*0.8+10*0.87+10*0.91+10*0.95=$112.3
NPVB=105*0.7+5*0.8+5*0.87+5*0.91+5*0.95=$91.15
B. Yes, there are arbitrage opportunities in the market.
Assume that

Q5
(a): The code in Matlab is as below:
mu = 0.08; % mean of stock price
sig = 0.3; % volatility of stock price
t = 1/12; % smallest time inteval
S(1) = 100; % initial price at t=0
T=10*12*t; % total time horizon
for i=2:(T/t) % for every small time inter

Global Capital Market Assignment 5
Question 1
a) The underlying asset is the firms value, which is the widget-producing technology. Strike is $50, and
the maturity is one year after.
b)
Payoff of the Bond-holders
100
80
60
40
20
0
0
20
40
60
80
Value of t

Global Capital Market Assignment 4
Question1
a) First, we calculate the covariance matrix for the three fundamental asset:
0.01
0
0.015
= [ 0
0.04 0.03 ]
0.015 0.03 0.09
Where every covariance is calculated from
( , ) =
Because the weight vector of GMV

Global Capital Market Homework 2
Question 1
1. Maybe people have certain long-tern obligation and want to use the long-term bond to hedge the
risk of interest rate move.
2. Because the traded price is at par, the duration is exactly 50 years.
(
)
(
)
(
)

IEOR E4721 Global Capital Market Assignment #1
Question 1
A
B
Because
Because
, Bond A is undervalued by the market, buy bond A
, Bond B is overvalued by the market, sell bond B
For Arbitrage strategy:
(1) Long N shares of Bond A, lose cash $111.97N; Shor