The University of Western Ontario 
Department of Statistical and Actuarial Sciences

Department of Statistical & Actuarial Sciences

 

 

 

 

 

Course Webpage for Financial Modelling 9561B

Winter 2014

 

Statistical Sciences 9561B – Fixed Income Modelling

 

Description: Stochastic modelling of interest rates, term structure derivatives and brief intro to credit risks (if time permits)

Prerequisite(s): A minimum mark of 60% in Statistical Sciences 3520A/B or consent of instructor. FM 9590A is highly recommended.

3 lecture hours, 0.5 course.

 

NOTE: Before coming to each lecture, you are expected to check course updates below.

 

02 January 2014: COURSE OUTLINE with list of specific topics.

 

02 January 2014: IMPORTANT DATES-Posting and Due Dates of Assignments

The pdf file of each particular assignment can be accessed and printed by clicking the link

to the assignment number. Please submit your assignment in class on the due date

before the lecture begins.

Events

Posting Date

Due Date

Solutions

Assignment No.1

To download and print the marking scheme for Assignment No. 1, click here.

 

 

27 Jan 2014

 

03 Feb 2014

Outline of solutions to Assignment No.1 with Marking Scheme

 

GUIDELINES to request remarking of assignment papers

Assignment No.2

To download and print the marking scheme for Assignment No. 2, click here.

28 Feb 2014

 

07 Mar 2014

Extended to 10 March 2014

Outline of solutions to Assignment No.2 with Marking Scheme

 

GUIDELINES to request remarking of assignment papers

 

 

Assignment No.3

To download and print the marking scheme for Assignment No. 3, click here.

26 Mar 2014

 

02 Apr 2014        

 

Outline of solutions to Assignment No.3 with Marking Scheme

 

GUIDELINES to request remarking of assignment papers

 

 

Final Exam

Venue: KB

(Kresge Building) K203

 

 

Wednesday

12 Apr 2014

Start: 2:00pm

 

12 Apr 2014

End:

5:00pm

 

 

 


UPDATES!!!

07 April 2014 NEW

o     Solutions to Assignment No.3 (along with the marking scheme) can now be downloaded from the link above.

o     Marked Assignment No.3 papers will be returned after the final exam on the 12th of April. Please submit remarking request (if applicable to your case) by the 16th of April. Remarking requests must be placed in an envelope addressed to the instructor. Please ask Jane Bai to put your remarking document in the instructor’s mailbox.

 

29 March 2014

o     FINAL EXAM GUIDELINES

o     Lecture summary – Week of 24 - 28 March 2014

         

22 March 2014

o     PDF copy of Assignment No. 3 along with the Marking Scheme is now available from the link above.

o     Topics to be covered – Week of 24 - 28 March 2014

o     Lecture summary – Week of 17- 21 March 2014

         

14 March 2014

o     Topics to be covered – Week of 17- 21 March 2014

o     Lecture summary – Week of 10- 14 March 2014

         

12 March 2014

o     Solutions to Assignment No.2 (along with the marking scheme) can now be downloaded from the link above.

 

08 March 2014

o     Topics to be covered – Week of 10- 14 March 2014

o     Lecture summary – Week of 03- 07 March 2014

         

01 March 2014

o     Topics to be covered – Week of 03- 07 March 2014

o     Lecture summary – Week of 24- 28 February 2014

                                                 

28 February 2014 

o     PDF copy of Assignment No. 2 along with the Marking Scheme is now available for download from the links above.

 

16 February 2014 

o     Topics to be covered – Week of 24- 28 February 2014

o     Lecture summary – Week of 10 -14 February 2014

                                                 

08 February 2014 

o     Topics to be covered – Week of 10- 14 February 2014

o     Lecture summary – Week of 03 -07 February 2014

                                                 

04 February 2014 

o     Solutions to Assignment No.1 (along with the marking scheme) can now be downloaded from the link above.

 

01 February 2014 

o     Topics to be covered – Week of 03- 07 February 2014

o     Lecture summary – Week of 27 -31 January 2014

 

27 January 2014 

o     PDF copy of Assignment No. 1 along with the Marking Scheme is now available for download from the links above.

 

25 January 2014  

o     Topics to be covered – Week of 27- 31 January 2014

o     Lecture summary – Week of 20 -24 January 2014

 

19 January 2014 

o     Topics to be covered – Week of 20-24 January 2014

o     Lecture summary – Week of 13-17 January 2014

 

11 January 2014

o     Topics to be covered – Week of 13-17 January 2014

o     Lecture summary – Week of 06-10 January 2014

 

07 January 2014

o     PDF of the Canadian yield curve used in the first-lecture demonstration

o     PDF of the first-lecture presentation

 

02 January 2014

o     A pdf copy of the Course Outline can be downloaded from the above link.

 

 

 

 

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