Risk and Asset Allocation ('10-'11)

part of the FM 5031/2 financial mathematics practitioner sequence

Instructor

John Dodson
jdodson@math.umn.edu

Resources

Syllabus
Class blog
Dropbox
Meucci text website
Meucci MATAB Central website
Files

Texts

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

Lectures

Orientation
Concepts in Accounting and Trading slides
Fall Term
Wed 8 Sep preview slides
Sun 12 Sep slides exercise
Wed 15 Sep slides exercise
Wed 22 Sep slides case discussion exercise
Sun 3 Oct slides discussion exercise
Wed 6 Oct slides exercise
Wed 13 Oct paper discussion exercise
Wed 20 Oct slides assignment
Sun 12 Dec final review
Spring Term
Wed 19 Jan preview
Sun 23 Jan slides case exercise
Wed 26 Jan slides case exercise
Wed 2 Feb slides case exercise
Wed 9 Feb slides case exercise office hours
Wed 16 Feb slides exercise
Wed 23 Feb slides project
Sun 1 May final review

Notes

Outline
Last Modified Wednesday August 03, 2011
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