KTH Mathematics

Current teaching The academic year 2014-15 I will be teaching assistant for the following: SF2942 Portfolio Theory and Risk Management, first quarter. Link. 26/9 Efficient frontier. R code on exercise 4.6. 9/10 Risk and diversification. R code on exercise 6.8. SF1901 Sannolikhetsteori och statistik Link. Previous teaching Academic year 2013-14 SF1901 Basic probability theory and statistics (SannolikhetslŠra och statistik fšr Teknisk fysik), third quarter. Link. SF2701 Financial mathematics Link. Academic year 2012-13 SF2943 Time Series Analysis, fourth quarter. Link. SF1901: Basic probability theory and statistics (SannolikhetslŠra och statistik fšr Teknisk fysik), third quarter. SF2942 Portfolio Theory and Risk Management, first quarter. Link. Academic year 2011-12 SF2943 Time Series Analysis, fourth quarter. Link. SF1901: Basic probability theory and statistics (Sannolikhetslära och statistik för Teknisk fysik), third quarter. SF2980: Risk Management, second quarter Link. R for Octave users. Applebaum on Levy processes. 31/10 Thinning vs Historical simulation (ex 7.8) and Bootstrap intervals for quantiles (ex 7.11). 7/11 Analysis of Nasdaq data; maximum likelihood (ML) and least squares (LS) estimation (ex. 8.4, 8.5, 8.8). Confidence intervals for expected shortfall (ex. 8.9) and fitting a qq-plot (ex. 8.10). 14/11 Peaks over threshold. R code. 27/11 Estimation and fit of an Elliptic model. R code on example 9.6. 5/12 Copulas R code for example 9.13. R code for figure 9.6. R code for example 9.20 (Default Risk). Academic year 2010-11 SF1901: Basic probability theory and statistics (Sannolikhetslära och statistik), third quarter SF1901: Basic probability theory and statistics (Sannolikhetslära och statistik), second quarter SF1901: Basic probability theory and statistics (Sannolikhetslära och statistik), first quarter Office phone: +46-8-790-7136 Email: tgud at kth dot se Department of Mathematics Royal Institute of Technology SE-100 44 Stockholm Sweden

Published by: Thorbjörn Gudmundsson Updated: 21-Oct-2014