15.S12  SSIM: Data Technologies for Quantitative Finance

Problem set 3

Dear students,

I put the graded problem set 3 in my folder in E52. You can pick it up now.

Best
Hong

Announced on 31 October 2011  12:13  p.m. by Hong Ru

Last recitation tommorrow

Dear Students,

We will have the last recitation tomorrow at 9:00 to 10:30 in the trading room. Professor Mende will come to discuss the material if the problem set and answer questions. Moreover, problems set 3 is graded and you can pick it up during the recitation.

Best
Hong

Announced on 20 October 2011  10:07  p.m. by Hong Ru

This week in Data Technologies

Dear Students,

This is our final week in 15.S12.

The next lecture is Tuesday 4-6pm, and we'll cover operational & transactional systems; high-frequency, tick, and real-time data analytics; volatility surfaces and option hedging. If you have other requests, questions, discoveries, challenges, etc., let me know beforehand or just bring them to class. Problem Set 3 is due at the start of class.

This week my office hours are 10:30-12 on Tuesday, as usual, plus I'm available all afternoon today in E62-690.

I had hoped to add an optional lecture to do more examples and Q&A, but there was unfortunately no time found that worked for enough people. The last recitation is on Friday, and I will be there for at least the early part (and, if scheduling permits, for the duration) to help review PS3 and discuss any and all other questions you may have.

I'm aware of two activities juxtaposed with our Tuesday meeting, so we'll try to end promptly. Some of you attend QWAFAFEW meetings in Boston, and I'd like to call everyone's attention to Emanuel Derman's talk:

http://qwafafew.org/index.php/chapters/boston
http://qwafafew.org/index.php/files/page/models_behaving_badly_emanuel_derman/boston/

The time is listed as "6:15 sharpe" [sic]; in practice ,the talks usually do not begin before 6:30 or 6:45, which leaves some time to get there. In addition, there is an M.Fin. social 5-7 at the Faculty Club.

-Paul

Announced on 17 October 2011  2:24  p.m. by Paul F. Mende

PS2 Graded

Dear Students,

Problem Set 2 is graded and I put them in my folder which is located on first floor of E52.(It is under my name RU.H). For this problem set, we have 90 points in total(it is not the weight compare with 80 last time).

Best
Hong

Announced on 12 October 2011  9:25  a.m. by Hong Ru

Problem set 3 view code posted

Dear Students,

As we promised, the code to create view for question 2 is posted. hope it finds you well.

Best
Hong

Announced on 10 October 2011  2:06  p.m. by Hong Ru