Portfolio Optimization / Interest Rate Models

part of the FM 5031/2 financial mathematics practitioner sequence

Instructor

John Dodson
jdodson@math.umn.edu

Resources

Fall Syllabus
Spring Syllabus
Class Web Log
Meucci text website
Brigo-Mercurio text website
Meucci MATAB Central website
Files

Texts

Required (Fall)
Risk and Asset Allocation, Attilio Meucci
Required (Spring)
Interest Rate Models - Theory and Practice, 2nd ed., Damiano Brigo & Fabio Mercurio
Recommended
Simulation Techniques in Financial Risk Management, Ngai Hang Chan & Hoi-Ying Wong
Monte Carlo Methods in Financial Engineering, Paul Glasserman
Introduction to Linear Optimization, Dimitris Bertsimas & John Tsitsiklis
Probability and Statistics, 3rd ed., Morris DeGroot & Mark Schervish

Lectures

Orientation
Concepts in Accounting and Trading slides
Fall Term - Portfolio Optimization
3 Sep slides
10 Sep slides
17 Sep slides and proof
24 Sep slides and challenge
1 Oct slides
8 Oct slides
15 Oct slides
Spring Term - Interest Rate Models
18 Feb slides
25 Feb, 8 Mar, 22 Mar notes
29 Mar slides
5 Apr demonstration

Notes

Journal

Last Modified Thursday August 27, 2009
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