John Dodson's Homepage

Background

I am professor of practice for the University of Minnesota financial mathematics program. I have previously served as a lecturer for the Carlson School of Management finance department for which I taught MBA Derivatives.

Resume

I am also an executive principal in the risk modeling group at the Options Clearing Corporatation in Chicago and an active member of SIAM. Please visit my LinkedIn profile for more background.

Contact Info

dodso013@umn.edu

Office Hours

Fall '21-'22 term: Sundays at 7:00 PM by Zoom.

Teaching

Quantitative Risk Management ('20-'21) ('19-'20) ('18-'19) ('17-'18) ('16-'17) ('15-'16)
Risk & Asset Allocation ('14-'15) ('13-'14) ('12-'13) ('11-'12) ('10-'11) ('09-'10)
Interest Rate Models ('09)
Portfolio Optimization ('08)
Data Analysis, Simulation, & Portfolio Optimization ('07-'08)

Papers

Copula Primer
Estimating the ARMA Model
Intensity and Recovery in Defaultable Bonds
Estimating The Market Price of Risk
Historical Simulation
CDO Correlation Primer
Equity Volatility and Credit Spreads under Perpetual Debt

Presentations

Case Study in Delta Hedging
Trends in Applied Mathematics Pertaining to the Finance Industry
Introduction to Interest Rate Models and Products
Filtered Dispersion
High Performance Computing in Finance
Addressing the potential non-robustness of sub-additive portfolio risk measures
Quant Topics for Options Clearing
Background on Stress Testing
Estimating The Market Price of Risk
Intensity Models for Default Risk
Financial Mathematics Topics
Measurement & Optimal Deployment of Active Risk
General Delta-Gamma VaR

Links

Minnesota Center for Financial and Actuarial Mathematics
School of Mathematics
College of Science & Engineering
University of Minnesota
Last Modified Thursday February 01, 2024
The views and opinions expressed in this page are strictly those of the page author. The contents of this page have not been reviewed or approved by the University of Minnesota.