Quantitative Risk Management

Quantitative Risk Management ('15-'16)

part of the FM 5031/2 financial mathematics practitioner sequence

Instructor

John Dodson
jdodson@math.umn.edu

Resources

syllabus updated 20 Jan
fall / spring grades (Moodle)
classroom (WebEx)
office hours (WebEx)
files
journal

Texts

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

Schedule

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 August 14, 2016

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