Saivikas Chittepu
Homework 3
CFRM 461
1)
a) Events are considered to be disjoints if they can never occur at the same time. In the case we are
looking at, it is completely possible for a student to be bilingual in Spanish and French. These
events are not
Question 1
1)
2)
3)
4)
5)
6)
7)
There is a non-outlier low of 100
There is a non-outlier high of 128
Q1 = 107
Median = 114
Q3 = 118
IQR = 118 107 = 11
The plot is skewed left since the area of the area of the box to the left of the median is greater
than
Problem 1)
Age: Quantitative
Pre-Pregnancy Weight: Quantitative
Level of Parental Care: Categorical
Drug Use: Categorical
Problem 2)
a)
b)
c)
d)
181/350 = 51.71%
47/350 = 13.42%
122/350 = 34.86%
Student: 190/350 = 54.29%
Staff: 160/350 = 45.71%
Problem 3)
CFRM 461
Probability and Statistics for Computational Finance
Basics of Statistics: Part II
Bin Zou
[email protected]
Department of Applied Mathematics
University of Washington
2017 Spring Quarter
Credits: Some examples and graphs are taken from STATS: Data a
CFRM 461
Probability and Statistics for Computational Finance
Introduction to R
Bin Zou
[email protected]
Department of Applied Mathematics
University of Washington
2017 Spring Quarter
Outline
1
Brief Introduction
2
Basic Mathematical Operations
3
Vector and
CFRM 461
Probability and Statistics for Computational Finance
Basics of Statistics: Part I
Bin Zou
[email protected]
Department of Applied Mathematics
University of Washington
2017 Spring Quarter
Credits: Some examples and graphs are taken from STATS: Data an
CFRM 461
Probability and Statistics for Computational Finance
Introduction
Bin Zou
[email protected]
Department of Applied Mathematics
University of Washington
2017 Spring Quarter
Outline
1
Summary of Syllabus
2
Course Introduction
Bin Zou (UW)
CFRM 461
2/26
University of Washington
Department of Applied Mathematics
CFRM 461: Probability and Statistics for Computational Finance
Spring Quarter 2017
Lecture Time:
Lecture Room:
Course Webpage:
MWF 3:30-4:20 pm
WFS 201
https:/canvas.uw.edu/courses/1137757
Instruc
CFRM 461
Probability and Statistics for Computational Finance
Linear Model
Bin Zou
[email protected]
Department of Applied Mathematics
University of Washington
2017 Spring Quarter
Credits: Some examples and graphs are taken from STATS: Data and Models,
Canadi
CFRM 461: Homework 1
Total points: 100
Due on April 9, 2017 (11:59 pm PST)
Please round your answers to 2 decimal places unless stated otherwise.
Since R codes in this homework are simple, please paste them directly in your write-up.
There is NO need to u
Fitting Statistical Factor Models: factorAnalytics vignette
Sangeetha Srinivasan
September 14, 2015
Abstract
The purpose of this vignette is to demonstrate the use of fitSfm and related control,
analysis and plot functions in the factorAnalytics package.
Chapter 3
Interest Rate Risk Management
In the previous chapter, we have learnt that the price of a bond P depends on yield rate. Here,
throughout this chapter, we denote r as the continuously compounded yield rate and y as the yield
to maturity (YTM), wh
Create a model in
Excel/VBA to value
Floating Rate Notes
(FRN)
Analytical Finance II (MMA-708)
In this seminar, we value floating rate notes (FRN) by
using a model created using Excel.
Hayford Gyasi, Joyce Young Kumah, Moazam Riaz, Shoaib
Hashmi, VecheakM
Course Syllabus CFRM 547
Credit Risk Management
Course description
This course covers the theory, applications and computational methods for credit risk measurement and
management. It also discusses the statistical and mathematical modeling of credit risk
FINAL PROJECT REQUIREMENTS
CFRM 543 Spring 2016
Due Date: 11:59pm Sunday June 12
6/2/2016
This Document
This document provides specific requirements that your
Final Project report must meet with regard to:
1. Submission deadline
2. Software
3. Custom perf
initial capital P_0
Final liability P_L
Compounding frequency m
Matury of liability T
Bond price P_b
Coupon rate c
Coupn
Maturity
Number of payments
YTM
9.50%
10.00%
10.50%
11.00%
11.50%
12.00%
12.50%
13.00%
13.50%
14.00%
14.50%
15.00%
15.50%
8820262
1718
Eric Zivot
Econ 424 Summer 2016
Problem Set #4
Descriptive Statistics for Financial Data and CER Model Estimation
Due: Tuesday 7/19/16 at 8 pm via Canvas.
Readings
My class slides and book chapters on descriptive statistics, CER model and CER
model estima
University of Washington
Department of Economics
Summer 2016
Eric Zivot
Econ 424
Midterm Exam Solutions
This is a closed book and closed note exam. However, you are allowed one page of notes
(8.5 by 11 or A4 double-sided) and the use of a calculator. Answ
Eric Zivot
Econ 424 Summer 2016
Problem Set #6
Monte Carlo Simulation and Bootstrapping in the CER Model; Getting Started on
the Project
Due: Tuesday 7/26/16 at 8 pm via Canvas
Readings
EZ, chapter 7 (Estimation of the CER model) and chapter 8 (The Bootst
Eric Zivot
Econ 424
Summer 2016
Problem Set #2
Working with Random Variables and Probability Distributions
Due: Tuesday 7/5/16 at 8pm via Canvas
Readings
My book chapter on returns and review of probability theory and random
variables.
A Beginners Guide t
Eric Zivot
Econ 424 Summer 2016
Department of Economics
University of Washington
Lab 7
Computing Efficient Portfolios Using Matrix Algebra
Due: Tuesday, 8/9/16 at 8 pm via Canvas
Reading
1.
2.
3.
Book chapters and class slides on Portfolio Theory with Mat
Eric Zivot
Econ 424
Summer 2016
Econ 424
Problem Set #6
Introduction to Portfolio Theory
Due: Tuesday 8/2/16 at 8 pm via Canvas
Readings
EZ chapter 11 (Introduction to Portfolio Theory)
Ruppert and Matteson, Chapter 16 (Portfolio Selection)
Programs and D