Portfolio Optimization / Interest Rate Models

Instructor

John Dodson
jdodson@math.umn.edu

Resources

Syllabus
Class Web Log
Meucci text website
Meucci MATAB Central website

Texts

Required (Fall)

Risk and Asset Allocation, Attilio Meucci

Required (Spring)

Interest Rate Models - Theory and Practice, 2nd ed., Damiano Brigo & Fabio Mercurio

Recommended

Simulation Techniques in Financial Risk Management, Ngai Hang Chan & Hoi-Ying Wong

Monte Carlo Methods in Financial Engineering, Paul Glasserman

Introduction to Linear Optimization, Dimitris Bertsimas & John Tsitsiklis

Probability and Statistics, 3rd ed., Morris DeGroot & Mark Schervish

Notes

Journal

Last Modified Wednesday May 28, 2008 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.