FINANCIAL MODELING II

Financial Modeling II
Lecturers:
Prof. Roberto Renò
Dr. Antonio Mannolini


News: 

The Siena Finance Seminars page

Lecture Notes:

  1. Stochastic Volatility
  2. Jump-diffusion Processes
  3. Interest rate derivatives + Short rate models and practice
  4. Credit risk

Homeworks:

  1. Stylized facts on financial returns
  2. ARCH and GARCH models
  3. Stochastic volatility models
  4. Poisson process and jump-diffusion processes
  5. Interest rate derivatives
  6. Credit risk

Data and code developed in class
2011 code

Financial data (SP500 returns, VIX, Tbill from 1990 to 2007):
matlab format, csv format

Miscellaneous material

Exams (calendar, past exams, results): 

Intermediate exams:
17 November 2011
 text
 solution, results
9 January 2012
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 solution, results
10 December 2010
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results
12 January 2011
 text
 results

Final exams:

2011/12
24 January 2012, h. 12.00
 text
 solution,results
14 February 2012, 10.00
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 solution, results
22 March 2012
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12 June 2012, h. 17.00

4 July 2012, h. 12.00

7 September 2012, h. 10.00

24 September 2012, h. 14.00

2010/11
8 February 2011, h. 10.00
 text
results
2 March 2011, h. 10.00
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results
15 June 2011, h. 10.00
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results
6 July 2011, h. 10.00
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results
8 September 2011, h. 10.00
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results