Financial Statistics

News

  • Hint. You can find matklab routines for computing European Call options for a variety of models on the Valuation of Derivative Assets course home page. Specifically, look at computer exercise 2 and the file opt_price.p
  • The take home project has been distributed during the lecture. Please drop by my office if you haven't recieved a copy and intend to present at a seminar. <
  • Doodle for the December seminar on December 16th in MH:330 between 10:15-12:00. The January seminar will be in MH:330 on January 9th in MH:330 between 10:15-12:00.
  • Welcome to the first lecture on Monday November 4th at 10.15-12.00 in MH:Riesz

Courseprogramme

The preliminary course programme for fall 2019 can now be found here: Courseprogramme

Lectures

Note that there is often links to papers in the slides!

Exercises

  • Exercise 5: 14.1, 14.2
  • Exercise 4: Solve assignments 13.1, 13.2, 13.3
  • Exercise 3: Solve assignments 5.6, 7.3, 8.2, 8.5, 8.6 and 8.7, (and if you have time 7.1, 8.9)
  • Exercise 2: Solve assignments 5.5, 5.4 (and if you have time 5.6)
  • Exercise 1: Solve assignments 4.5, and 4.1 (if you have time).

Computer exercises

MLmax help: You can find a demo file and demo log-likelihood function.

Questions:Erik Lindström Top of page
Last modified: Tue November 5 CET 2019 Validate: HTML CSS

Course Start

Introductory Meeting:
2019-11-04, 10:15
MH:Riesz

Reading periods:
ht2

Staff

Lecturer:
Erik Lindstroem Assistants: Samuel Wiqvist

Programmes


  • Stand-alone Courses
  • Engineering Physics
  • Industrial Engineering and Management
  • Master's Program in Mathematical Statistics
  • Engineering Mathematics
Centre for Mathematical Sciences, Box 118, SE-22100, Lund. Telefon: +46 46-222 00 00 (vx)