… is available at One Timestep Portfolio Replication Class Problem (Solutions).
… at http://fin4366.garven.com/spring2020/formulas_part1.pdf. This document will be appended to the back of the exam booklet. I recommend that y’all familiarize yourselves with this formula sheet sometime prior to tomorrow’s exam.
… are available at http://fin4366.garven.com/spring2020/ps5solutions.pdf.
… are available at http://fin4366.garven.com/spring2020/ps4solutions.pdf.
The latest on machine learning applications in finance…
“Investors and researchers have suspected for decades that text could be used to predict markets, some trying and failing. But applying machine-learning techniques originated by computer scientists, Harvard’s Zheng Tracy Ke, Yale’s Bryan T. Kelly, and Chicago Booth’s Dacheng Xiu have built a model that in early tests outperformed a similar strategy based on scores from RavenPack, the leading vendor of news-sentiment scores.”
In preparation for class on Thursday, please work through this “sample” midterm 1 for Finance 4366. Actually, this was midterm exam 1 for Finance 4366 during the spring 2019 semester, which is the last time I taught this course. If there is a demand for it, I can devote part of the review session to working through and explaining the problems on this exam.
As I indicated in Saturday’s blog posting entitled “Problem Sets 4 and 5 are now available!”, Problem set 4, which is based on the “Properties of Stock Options” reading and lecture note, is due at the beginning of tomorrow’s Finance 4366 class meeting. Also, class will begin tomorrow with a quiz based on the assigned reading, which is Hull’s “Trading Strategies Involving Options” chapter.
On Thursday, Problem set 5, which is based on the “Trading Strategies Involving Options” reading and lecture note, will be due. That class meeting will be devoted to a review session for Midterm Exam #1, which is scheduled to occur in class on Tuesday, February 18.
Problem set 4, which is based on the “Properties of Stock Options” reading and lecture note, is due at the beginning of class on Tuesday, February 11. Also, Problem set 5, which is based on the “Trading Strategies Involving Options” reading and lecture note, is due at the beginning of class on Thursday, February 13.
Here’s a useful summary of pricing equations for forwards and futures; a full-size pdf version of this document is available at http://derivatives.garven.com/wp-content/uploads/2018/02/Pricing-Forwards-and-Futures.pdf (or by simply clicking on the page below)..