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DER 04 Return/risk measurement

Derivatives contract valuation and risk management require the require the use of statistics and regression analysis. Reviews elementary statistics and regression as they apply to security returns.

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• Required reading

  • Whaley, 2006, Appendix A, Elementary statistics

  • Whaley, 2006, Appendix B, Regression analysis (*** Replace. ***)

  • Whaley, 2020, The origin of 252

    • Support file: The Origin of 252.xlsx

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• Lecture notes

  • Slides

  • Supporting files​

    • Return-risk measurement.xlsx

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