KTH Mathematics

Current teaching Next school year I will be teaching assistant for the following: SF2942 Portfolio Theory and Risk Management (autumn 2012, period 1) Link. Problem exercise sessions (6 meetings). TA's additional notes will be published here. SF1901: Sannolikhetsteori och statistik vår 2013, period 3) för Teknisk fysik. Link. Grundkurs, undervisat på svenska. Årton övningar där vi går ingenom vanliga uppgifter samt tenta uppgifter och roliga tillämpningar. SF2943 Time Series Analysis (spring 2013, period 4) Link. Problem exercise sessions (6 meetings). TA's additional notes will be published here. Previous teaching SF2943 Time Series Analysis (spring 2012, period 4) Link. SF1901: Sannolikhetsteori och statistik (spring 2012, period 3) för Teknisk fysik. SF2980: Risk Management (autumn 2011, period 2) 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). SF1901: Sannolikhetsteori och statistik (spring 2011, period 3) SF1901: Sannolikhetsteori och statistik (autumn 2010, period 2) SF1901: Sannolikhetsteori och statistik (autumn 2010, period 1) Office phone: +46-8-790-6619 Email: tgud at kth dot se Office room: 3438 Office hours: Fridays 13-15 (please call/email ahead) Department of Mathematics Royal Institute of Technology SE-100 44 Stockholm Sweden

Published by: Thorbjörn Gudmundsson Updated: 28-Jun-2012