Instructor and Schedule#
👨🏫 Instructor: Guilherme Salome
👨🏫 Teaching Associate: Ivan Abramov
📅 Schedule:
- Tuesdays & Thursdays: 4:40 PM - 5:55 PM
- Fridays: 10:00 AM - 12:30 PM
- Office Hours: Wednesdays 12:00 PM - 1:30 PM at SocSci 213
📍 Location: Gray 228
📚 Course Materials#
August 2018#
- 📄 Syllabus
- 📄 Data
- 📄 Lecture 1 - LaTeX
- 📄 Lecture 1 - Git
- 📄 Lecture 2 - Jump-Diffusion Processes
- 📄 Lecture 2 - Simulation
- 📄 Project 1
September 2018#
- 📄 Lecture 4 - IV Estimation
- 📄 Project 2
- 📄 Lecture 6 - Jump Separation
- 📄 Project 3
- 📄 Lecture 7 - The Bootstrap
- 📄 Lecture 7 - Delta Method
- 📄 Lecture 7 - Realized Beta
- 📄 Lecture 8 - Local Variance
October 2018#
- 📄 Midterm
- 📄 Lecture 9 - Jump Regression
- 📄 Project 4
- 📄 Lecture 10 - Forecasting RV
- 📄 Lecture 11 - Part 1 (In-Class Notes)
- 📄 Project 5
- 📄 Lecture 12 - Part 2 (In-Class Notes)
- 📄 Lecture 13 - Part 3 (In-Class Notes)
- 📄 Lecture 14 - Installing Python
- 📄 Lecture 14 - Managing Versions
- 📄 Lecture 15 - Jupyter Notebook
- 📓 Lecture 15 - Python (notebook)
November 2018#
- 📓 Lecture 16 - Numpy (notebook)
- 📓 Lecture 16 - TensorFlow (notebook)
- 📓 Lecture 16 - Matplotlib (notebook)
- 📄 Project 6
- 📄 Lecture 17 - Options
- 📄 Lecture 17 - Microstructure Noise
- 📄 Lecture 17 - TSRV