Quantitative Risk Management ('16-'17)

part of the FM 5031/2 financial mathematics practitioner sequence

Instructor

John Dodson
jdodson@math.umn.edu

Resources

syllabus updated 19 Apr
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
Wed 7 Sep slides exercise lecture
Wed 14 Sep slides case exercise lecture
Wed 21 Sep slides exercise lecture
Wed 28 Sep slides case exercise lecture
Wed 5 Oct slides demo exercise lecture
Wed 12 Oct slides case assignment lecture
Spring Term
Web 18 Jan slides case exercise lecture
Wed 25 Jan slides exercise lecture
Wed 1 Feb slides exercise lecture
Wed 8 Feb slides case exercise lecture
Wed 15 Feb slides exercise lecture
Wed 22 Feb slides assignment lecture
Last Modified Friday August 25, 2017
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