standard deviation not variance on page 44 Financial risk forecasting errata

standard deviation not variance on page 44

June 5, 2012

My FM320 student Amith Bhattacharyya spotted that on the penultimate line on page 42 standard deviation should replace variance.

Var(WE+1) and not Var(WT+1) on page 144
\(p_{ij}\) and \(p_{ji}\) bottom of page 155
Financial Risk Forecasting
Market risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.
© All rights reserved, Jon Danielsson,