Risk and Asset Allocation

part of the FM 5031/2 financial mathematics practitioner sequence

Instructor

John Dodson
jdodson@math.umn.edu

Resources

syllabus updated lecture schedule
blog (UThink)
dropbox (NetFiles)
fall / spring grades (Moodle2)
classroom (UMConnect)
Meucci code (MATLAB Central)
Meucci text (SYMMYS)
SeDuMi package (CVX Research)

Texts

Required (Fall & Spring)
Risk and Asset Allocation, Attilio Meucci
Recommended
Quantitative Risk Management, Alexander McNeil, Rüdiger Frey, & Paul Embrechts
Monte Carlo Methods in Financial Engineering, Paul Glasserman
Probability and Statistics, 3rd ed., Morris DeGroot & Mark Schervish

Files

Lectures

Fall Term
Wed 5 Sep slides exercise
Wed 12 Sep slides case exercise lecture office hours
Wed 19 Sep slides exercise lecture office hours
Wed 26 Sep slides exercise lecture office hours
Wed 3 Oct reading notes exercise lecture office hours
Wed 10 Oct slides case assignment lecture office hours
Sun 16 Dec final review
Wed 19 Dec final
Spring Term
Web 23 Jan slides case exercise lecture office hours
Wed 30 Jan slides exercise lecture office hours
Wed 6 Feb slides case exercise lecture
Wed 13 Feb slides case exercise lecture
Wed 20 Feb slides case exercise lecture office hours
Wed 27 Feb slides case lecture office hours project
Sun 12 May final review
Wed 15 May final

Notes

Last Modified Saturday August 03, 2013
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