MF792: STOCHASTIC METHODS OF MATH FINANCE I
Course description: MF792 covers key topics from probability theory, measure theory and
integration, plus some introductory topics from stochastic calcu
Two Questions, One Problem
Two Main Questions in Fina
Taxation treatment of exchange traded
20 May 2010
Alison Noble, Principal, Deloitte Touche Tohmatsu Ltd
Christopher Neil, Analyst, Deloitte Touche Tohmatsu Ltd
The views in this document are those of the authors and do not represent the views of D
Which properties are desirable for a good measure of risk?
Capital allocation for banks and insurance companies: when taking
on additional risks, nancial institutions need to evaluate their
impact on the solvability of the r
Steve E. Shreve
October 10, 2005
A Foreign Exchange Model
The assets and the risk-neutral measures
In this section we consider an N -period binomial model, but with two
currencies. In particular, there is a domestic interest rate r 0 and a f
Boston University School of Management
FE793 Statistics of Mathematical Finance
ESTIMATION OF GARCH MODELS
USING R AND OX
March 3, 2011
In order to model EGARCH/TGARCH, you will need to install install several things I
assume that R and Rme
An Introduction to R
Notes on R: A Programming Environment for Data Analysis and Graphics
Version 2.12.1 (2010-12-16)
W. N. Venables, D. M. Smith
and the R Development Core Team
1990 W. N. Venabl
November 19, 2009
Author S scripts originally by Jan Beran <[email protected]> Datasets via
Brandon Whitcher <[email protected]>. Toplevel R functions and much
more by Martin Maechler.
February 14, 2012
Depends R (>= 2.5.0), stats, utils
Author Brian Ripley <[email protected]>.
Maintainer Brian Ripley <[email protected]>
Description Software for feed-f
Econometric Computing with HC and HAC
Covariance Matrix Estimators
This introduction to the R package sandwich is a (slightly) modied version of Zeileis
(2004), published in the Journal of Statistical So
Fitting distributions with R
FITTING DISTRIBUTIONS WITH R
Release 0.4-21 February 2005 Vito Ricci [email protected]
Permission is granted to copy, distribute and/or modify this document under the terms of the GNU Free Documentation License, Version 1
R functions for time series analysis by Vito Ricci ([email protected]) R.0.5 26/11/04
R FUNCTIONS FOR TIME SERIES ANALYSIS
Here are some helpful R functions for time series analysis. They belong from stats, tseries, ast and lmtest packages and grouped
You expect Japanese stocks to do well.
Exchange some dollars into yen, and buy Japanese stocks?
You would be exposed to both the Japanese stock market, and to
the exchange rate risk.
You could hedge this risk by taking a short
Expected Shortfall and
Note: The primary reference for these notes is Gourieroux and Jasiak (2009), although it is fairly technical. An
alternative and less technical textbook treatment can be found in Christof
Computation of Some Integrals
F a_, s_, x_ = Assumings > 0,
PlotF 0, 1, x, x, -3, 3
F a, s , 3 s - F a, s , - 3 s
F 0, s, 3 s - F 0, s, -3 s
Variance Reduction by Way of Changing the Measure
Consider X N 0, 1 and let
f x = -q x- 2 +e x , e > 0,
E f X = 2 e e-2 q , Var f X = q
Assumingq R & e > 0,
2 e e-2 q
Assumingq R & e > 0,
- e e-2 q +
2 +2 e2 -4 q e
- e e-2 q
MF792: Assignment #1
Due on Tuesday, September 18, 2012
Posted on: September 5, 2012, 8:26 PM
Problem 1: Do Exercise 8.
Problem 2: Do Exercise 9.
Problem 3: Do Exercise 11.
Problem 4: Do Exercise 14.
Problem 5: Do Exercise
MF792: Assignment #3
Due on Thursday, October 11, 2012
Posted on: October 1, 2012, 5:24 PM
MF792: Assignment #4
Due on Thursday, October 18, 2012
Posted on: October 11, 2012, 1:42 PM
1: Do Exercise 97.
2: Do Exercise 98.
On the coherence of Expected Shortfall
Carlo Acerbi Dirk Tasche
April 19, 2002
Expected Shortfall (ES) in several variants has been proposed as remedy for the deciencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In f
arXiv:cond-mat/0102304v1 [cond-mat.stat-mech] 16 Feb 2001
as a Tool for Financial Risk Management
Carlo Acerbi Claudio Nordioand Carlo Sirtori
Abaxbank, Corso Monforte 34, 20122 Milano Italy
February 1, 2008
We study the prop
Discrete and continuous
Normal distribution & Z-score
GOG 502/PLN 504 Youqin Huang
What are some examples of using
probability in daily life?