SYLLABUS Previous: 1.6 Computer quiz
Up: 1 INTRODUCTION
Next: 1.8 Further reading and
1.7 Exercises
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1.00 E-learning.
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1.01 Model portfolio.
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1.02 Cost averaging.
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1.03 Performance of an investment.
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1.04 Investment risk.
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1.05 Volatility measurements.
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1.06 Stock valuation.
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1.07 Zero rate of coupon bearing bonds.
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1.08 UWMA for the volatility of interest rates.
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1.09 EWMA for the drift of shares.
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1.10 GARCH variance targeting.
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1.11 Forecasting volatility.
IMPORTANT:
All these problems can be edited and submitted for correction by selecting
WORK:assignments
on the course main page. They generally open with a template that provides
useful advice and guidance to derive the solution.
The color coding corresponds to the expected level of difficulty:
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Easy.
- The problem is a direct application of the theory in a situation of
practical interest: solutions typically combine text without formulas,
ASCII plots and parameters of the VMARKET applet without any
programming.
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Moderate.
generally be solved with a short analytical derivation, a discussion
of the result, a plot parametric dependencies.
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Difficult.
The problem is an extension of the material discussed in the syllabus
and requires a good command of the mathematical language, which can
be expected for university graduates from quantitative fields.
SYLLABUS Previous: 1.6 Computer quiz
Up: 1 INTRODUCTION
Next: 1.8 Further reading and