Professor: 
Olivier Scaillet
(Uni Pignon 411) 
Assistant: 
Gaetan Bakalli (Uni
Mail 3209) &
AlainPhilippe Fortin 
Course: 
23 October 1012 M2130 29 October 1214 M5220 30 October 1012 M2130
04 December 1012 M2130
11 December
1012 M2130

Seminars: 
Computer room 4290 24 September 1618
22 October 1618 39 October 1618 12 November 1618

Reception hours: 
Tuesday 1819 @ Uni Mail 3209 (get appointment by email) 
Notation: 
final mark = 70% exam + 20% Max(project, exam) + 10% Max(participation seminars, exam) 
A.I. 

A.II. 

A.III. 

A.IV. 

A.V. 

A.VI. 

A.VII. 

A.VIII. 

A.IX. 

A.X. 

A.XI. 

A.XII. 

A.XIII. 
B.I. 

B.II. 

B.III. 

B.IV. 

B.V. 

B.VI. 

B.VII. 

B.VIII. 

B.IX. 

B.X. 

B.XI. 

B.XII. 
Figures: pdf1, pdf2
pdf1, pdf2
(printerfriendly format)
·
TP 1 Returns Analysis / Solution
·
TP 2 Estimation of Densities
/ Solution
·
TP 3 Asymptotic Properties
/ Solution
·
TP 4 CAPM (2 Sessions) / Solution
·
TP 5 Optimization / Solution
·
TP 7 Extreme Value Theory / Solution
·
TP 8 Asymptotics / Solution
·
TP 9 ACF, PACF and ARMA / Solution
·
TP 11 Testing Stationarity / Solution
·
The lectures, the exercise sessions and the exam are IN
ENGLISH. The exercise sessions will consist in a brief explanation of the
exercise, and then the students solve the problems using MATLAB with the help
of the assistant.
·
Check this page OFTEN. All classrelated
announcements will appear here!
·
Brain Teasers: To give you some preparation for job
interviews in finance (and have some fun too!), a section called Brainteasers
after the Probability/Statistics review has been added. You may find some logic
questions that have been asked to students looking for jobs in finance. Feel
free to send to us your solutions!
·
About the Project: The idea is
that you choose an empirical question to work on, and get it approved by Prof. Scaillet or the assistant. The project should involve the
same amount of work as a long exercise, and you are expected to write a 23 page report, along with your Matlab
code. Project due date is the last class of the semester (December 21^{st} ). Groups of maximum 3 students are allowed.
·
The exercise sessions are MANDATORY. You
have to sign the attendance sheet and attempt the exercises. You CANNOT
sign the attendance sheet and leave shortly afterwards. If you do so, your
participation in the seminar will not be counted. The only way to leave early
and still obtain participation credit for the exercise is to show the COMPLETE
results for the corresponding exercise to the assistant.
·
Solutions to will be posted right next to the
statement of the corresponding exercise shortly after the end of the exercise
session.
·
Additional exercises and answers to prepare for the
exam may be found in the book "La Gestion d'Actifs Quantitative" by T. Roncalli.
Exercises may be found in this link
·
A great Introduction to MATLAB by
Kevin Sheppard is available here. We will
also use Kevin Sheppard's Oxford MFE Toolbox , and Spatial Econometrics Toolbox
later on, so you should start becoming familiar with this websites.
·
An online matlab course can
be found here. Two nice
(and longer) introductions to MATLAB IN FRENCH may be found here and here. Another one is here.
Also, additional Matlab practice from Prof. Paul Söderlind's website can be downloaded here.
·
If you would like to get a software similar to MATLAB,
Octave is a good (FREE!) alternative. You can download it here. Choose the "Windows
Installer" version. Then you have to choose the release version and donwload a .exe file that will install Octave automatically
in your computer. Octave is not as nicelooking as MATLAB, but they are
(almost) equally powerful. MATLAB is installed in the university's computers,
but unfortunately it IS NOT available through etuGDL.
If you still want to get MATLAB, you may buy the student version from MathWorks.
·
To see why VaR sensitivities
may be seen as conditional expectations, you may wish to look at the following
article by Hong (page 121), and
Scaillet et al.
·
Here is a link
to Yale open courses which can serve as introductory/refresher courses.
·
Visit the virtual Museum
of Money and Financial Institutions.
·
For resources on Job & Education in
Quantitative/IT Finance and Maths see this website (French or English version).
·
An interesting paper on the social benefits of
Finance, link.
·
What is the pvalue? Here
the latest ASA statement on the topic.