Quantitative Risk Management

part of the FM 5031/2 financial mathematics practitioner sequence


John Dodson


syllabus updated 20 Jan
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 exercise lecture
Wed 27 Jan slides exercise lecture
Wed 3 Feb slides case exercise script lecture
Wed 10 Feb slides exercise lecture
Wed 17 Feb slides exercise lecture
Wed 24 Feb slides assignment lecture office hours

Last Modified Sunday February 28, 2016
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