Risk and Asset Allocation

part of the FM 5031/2 financial mathematics practitioner sequence

Instructor

John Dodson
jdodson@math.umn.edu

Resources

syllabus updated 9 Feb with TA office hours
blog (UThink)
dropbox (NetFiles)
grades (Moodle2)
classroom (UMConnect)
Meucci code (MATLAB Central)
Meucci text (SYMMYS)

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 7 Sep slides exercise lecture
Wed 14 Sep slides exercise lecture office hours
Wed 21 Sep slides case exercise lecture office hours chat log
Wed 28 Sep slides case exercise lecture
Wed 5 Oct slides exercise lecture chat log
Wed 12 Oct paper discussion case exercise lecture chat log
Wed 19 Oct slides lecture case chat log assignment
Sun 18 Dec final review chat log
Wed 21 Dec final
Spring Term
Web 18 Jan slides case exercise lecture chat log
Wed 25 Jan slides case exercise lecture chat log
Wed 1 Feb slides case exercise lecture
Wed 8 Feb slides case exercise lecture chat log
Wed 15 Feb slides exercise
Wed 22 Feb slides project
TBD final review
Wed 9 May final

Notes

Journal
Last Modified Sunday February 12, 2012
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