Statistical Methods and Calibration in Finance and Actuarial Science - MA6622

Ernesto Mordecki - ernesto.mordecki@gmail.com - B6507 - City University of Hong Kong (2006)

Course Gruops List and Marks of Assignement

DATE
LECTURES
ASSIGNEMENTS
COMPLEMENTARY MATERIAL
Friday, June 2
  • Lecture 1 Financial Structures and Instruments
  • Lecture 2 Predictability of Asset Returns
  • Lecture 3 Predictability of Asset Returns (II)
  • Assignment 1-2-3
    • Tuesday, June 6
  • Lecture 4 Markowitz Diversification Portfolio Investment
  • Lecture 5 Portfoilo diversification (II) and CAPM
  • Assignment 4-5
  • Instructions for Assessment
  • Financial Times May 29 2006
    • Friday, June 9
  • Lecture 6 Empirical Analysis of Financial Time Series
  • Lecture 7 Statistical Fitting with linear models
  • Assignment 6-7
    • Tuesday, June 13
  • Lecture 8 Multivariate Linear Time Series
  • Lecture 9 Multivariate Linear Time Series (II)
  • Assignment 8-9
    • Friday, June 16
  • Lecture 10 Value at Risk (VaR)
  • Lecture 11 Value at Risk through Monte Carlo
  • Assignment 10-11
    • Tuesday, June 20
  • Lecture 12 Conditional heteroscedastic models (ARCH)
  • Lecture 13 Estimation and Extensions in the ARCH model
  • Assignment 12-13
  • R. Engle's review on ARCH models
  • More instructions for Assessment
    • Friday, June 23
  • Lecture 14-15 Calibration in Black Scholes Model and Binomial Trees
  • Assignment 14-15
  • Quotations from SCMP June 16/2006
  • Trading Calendar for 2006
    • Tuesday, June 27
  • Lecture 16 Time Dependence in Black Scholes
  • Lecture 17 The volatility Smile and its implied Tree
  • Assignment 16-17
  • The Volatility Smile and Its Implied Tree (Derman Kani, 1994)
  • Quotations from SCMP June 8/2006
  • US Federal Reserve Statistical Release
    • Friday, June 30
  • Lectures 18 and 19 Diffusion processes for stocks and interest rates (18), and Calibrating one factor diffusion models (19).
  • (Without Assignment)
    		• Smile
    Tuesday, July 4
  • Lectures 20 and 21 (20) Diffusion with Jumps modelling, and (21) Option Pricing for Diffusion with Jumps.
  • Assignment 18-21
    • Friday, July 7
  • Lecture 22 and 23 (22) Fixed Income Finance, and (23) Yields, Duration and Yield Curves.
  • (Without assignement)
  • Yield Curves SCMP July 5, 2006
  • Yields Fixings of the HKMA July 5, 2006
  • Tender of EFN 5106
    • Tuesday, July 10
  • Lecture 24 Pricing fixed Income Derivatives through Black's Formula
  • Lecture 25 Interest rate models
  • Assignment 22-25
    • Friday, July 14 Tutorial with exam type questions
  • Correction to the Notes
    • Tuesday, July 25 MA6622 Examination To be held from 18:30 to 21:30 in P4704