Portfolio Optimization / Interest Rate Models

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 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.