Readings
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Assignment 1
This assignment is almost entirely about solving conceptual and mathematical problems, along with one programming problem. All the details are provided in this document. All submissions are due on Brightspace by 11:59 pm, Feb 29 (Thursday).
Assignment 2
This assignment is about hands-on problem solving related to simple stochastic processes, Ito's lemma, the Black-Scholes-Merton model, the capital asset pricing model (CAPM), and the market price of risk. All the details are provided in this document. All submissions are due on Brightspace by 11:59 pm, Apr 11 (Thursday).
Assignment 3
This is largely a programming assignment, with a few descriptive answers that relate to your implementation. This assignment consists of three main problems, which are provided in this PDF document. But the programming must be done using this Python notebook on Google Colab.
Students can avail Google Colab through their Stony Brook University single sign-on (NetID credentials). The above link to the notebook is read-only, but students can create their own copy to start working on the implementation. A quick tutorial link to Colab is included in the preface of the notebook.
This assignment is due on Brightspace by 11:59 pm, Apr 30 (Tuesday).
Assignment 4
As the final programming assignment, this is more than just programming, it is about understanding what to code. This assignment consists of a sequence of experiments that drive you towards a specific model for time series data. This assignment is provided entirely as this Python notebook on Google Colab.
Students can avail Google Colab through their Stony Brook University single sign-on (NetID credentials). The above link to the notebook is read-only, but students can create their own copy to start working on the implementation.
The time series data required for this assignment is already linked from the notebook.
This assignment is due on Brightspace by 11:59 pm, May 6 (Monday).