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 123

Tuesday, June 6

Lecture 4 Markowitz Diversification Portfolio Investment
Lecture 5 Portfoilo diversification (II) and CAPM

Assignment 45

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 67 
Tuesday, June 13

Lecture 8 Multivariate Linear Time Series
Lecture 9 Multivariate Linear Time Series (II)

Assignment 89 
Friday, June 16

Lecture 10 Value at Risk (VaR)
Lecture 11 Value at Risk through Monte Carlo

Assignment 1011

Tuesday, June 20

Lecture 12 Conditional heteroscedastic models (ARCH)
Lecture 13 Estimation and Extensions in the ARCH model

Assignment 1213 
R. Engle's review on ARCH models
More instructions for Assessment

Friday, June 23

Lecture 1415 Calibration in Black Scholes Model and Binomial Trees

Assignment 1415 
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 1617

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 1821 
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 2225

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
