Quantitative Risk Management

part of the FM 5031/2 financial mathematics practitioner sequence


John Dodson


syllabus updated 15 Aug
fall / spring grades (Moodle)
classroom (WebEx)
office hours (WebEx)


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


Fall Term
Wed 7 Sep slides exercise
Wed 14 Sep slides exercise
Wed 21 Sep slides exercise lecture
Wed 28 Sep slides case exercise lecture
Wed 5 Oct slides exercise lecture
Wed 12 Oct slides assignment script lecture
Spring Term
Web 18 Jan slides exercise lecture
Wed 25 Jan slides exercise lecture
Wed 1 Feb slides case exercise script lecture
Wed 8 Feb slides exercise lecture
Wed 15 Feb slides exercise lecture
Wed 22 Feb slides assignment lecture office hours

Last Modified Monday August 15, 2016
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