Risk and Asset Allocation

part of the FM 5031/2 financial mathematics practitioner sequence


John Dodson


syllabus updated 21 Jan
dropbox (NetFiles)
fall / spring grades (Moodle2)
classroom (UMConnect)
Meucci code (MATLAB Central)
Meucci text (SYMMYS)
SeDuMi package (CVX Research)


Required (Fall & Spring)
Risk and Asset Allocation, Attilio Meucci (Springer)
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 3 Sep review slides exercise
Wed 10 Sep slides case exercise lecture
Wed 17 Sep slides quiz discussion exercise lecture
Wed 24 Sep slides case exercise
Wed 1 Oct reading notes exercise lecture
Wed 8 Oct slides case assignment lecture
Spring Term
Web 21 Jan slides case exercise
Wed 28 Jan slides case exercise lecture
Wed 4 Feb slides case exercise
Wed 11 Feb slides case exercise lecture
Wed 18 Feb slides case exercise lecture
Wed 25 Feb slides case office hours project


Last Modified Saturday February 28, 2015
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