Quantitative Risk Management

Quantitative Risk Management ('18-'19)

part of the FM 5031/2 financial mathematics practitioner sequence

Instructor

John Dodson
jdodson@math.umn.edu

Resources

syllabus updated 23 Jan
fall / spring grades (Canvas)
classroom Tate Hall 110 & WebEx
office hours (WebEx)
fall / spring discussion (Piazza)
files

Texts

Required (Fall & Spring): Quantitative Risk Management, Alexander McNeil, Rüdiger Frey, & Paul Embrechts (Princeton)
Recommended: Analysis of Financial Timeseries, 3rd ed., Ruey Tsay (Wiley)

Schedule

Fall Term: Wed 5 Sep slides exercise lecture; Wed 12 Sep slides case exercise lecture; Wed 19 Sep slides case exercise lecture cont.; Wed 26 Sep slides case exercise lecture; Wed 3 Oct slides case assignment lecture
Spring Term: Web 23 Jan slides case exercise lecture cont.; Wed 30 Jan slides demo exercise lecture; Wed 6 Feb slides case exercise lecture; Wed 13 Feb slides exercise lecture; Wed 20 Feb slides case assignment lecture

Last Modified Saturday September 21, 2019

The views and opinions expressed in this page are strictly those of the page author. The contents of this page have not been reviewed or approved by the University of Minnesota.