Here’s the agenda for the next couple of Finance 4366 class meetings:
Tomorrow: Review solutions for midterm 2, and complete the credit risk class problem.
Next Tuesday, dive into concepts that appear in the assigned reading that is due tomorrow; particularly the Geometric Brownian Motion, Ito’s Lemma, and Risk Neutral Valuation, Risk-Neutral Valuation in Continuous Time Synopsis, and Greek Letters teaching notes.
I have updated the course website and Canvas. Problem set 10 is extra credit – if you complete it, you can use your grade to replace your lowest scoring problem set. This assignment is in lieu of coding your own spreadsheet for solving the credit risk class problem. Actually, since problem set 10 is essentially a reparameterization of the class problem, any work you’ve already done on spreadsheet modeling can be trivially repurposed for problem set 10.