Quantitative Risk Management

part of the FM 5031/2 financial mathematics practitioner sequence

Instructor

John Dodson
jdodson@math.umn.edu

Resources

syllabus updated 25 Aug
dropbox (NetFiles)
fall / spring grades (Moodle2)
classroom (WebEx)

Texts

Required (Fall & Spring)
Quantitative Risk Management, Alexander McNeil, Rüdiger Frey, & Paul Embrechts (Princeton)
Recommended
Monte Carlo Methods in Financial Engineering, Paul Glasserman (Springer)
Probability and Statistics, 4th ed., Morris DeGroot & Mark Schervish (Pearson)

Files

Lectures

Fall Term
Wed 9 Sep slides exercise
Wed 16 Sep slides exercise lecture
Wed 23 Sep slides exercise lecture
Wed 30 Sep slides exercise
Wed 7 Oct slides exercise
Wed 14 Oct slides assignment lecture
Spring Term
Web 20 Jan slides case exercise
Wed 27 Jan slides case exercise
Wed 3 Feb slides case exercise
Wed 10 Feb slides case exercise
Wed 17 Feb slides case exercise
Wed 24 Feb slides case office hours project

Notes


Last Modified Tuesday August 25, 2015
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