Plan for next week_澳门葡京手机版app下载

krzysztp
2022-09-01T16:22:12.795Z
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Next week, on September 6th, we will

1. Prove the formula for expected value, standard deviation and density of log-normal distribution

2. Do exercises 2.1, 2.2, 2.3, 2.4, 2.5, 2.6, 2.9, 2.10, 2.11, 2.12, and 2.18

3. Analyze the example 2.2.3 from the book with the figure 2.1

If we still have some time, I finish talking about the t-distribution as an example of the stochastic volatility

During the lecture on September 7th, the plan is to finish Chapter 2 (section 2.5) from the book as well as look at the estimation techniques from Chapter 7.3. We will also talk about the errors while modelling (model error, parameter error, simulation error) and if we have time, I will tell you outside the curriculum how to use bootstrapping technique to estimate the distribution of the parameter and how it can be used to quantify the parameter risk.