Quantitative Risk Management

part of the FM 5031/2 financial mathematics practitioner sequence


John Dodson


syllabus updated 15 Sep
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
Mon 1 Sep orientation
Wed 9 Sep slides exercise
Wed 16 Sep slides exercise
Wed 23 Sep slides exercise lecture
Wed 30 Sep slides case exercise lecture
Wed 7 Oct slides exercise lecture
Wed 14 Oct slides assignment script 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

Last Modified Wednesday October 14, 2015
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