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AMS 603 Risk Measures for Finance and Data Analysis

Risk analysis is an important to quantitative finance, insurance, commercial credit and many areas of data analysis. We emphasize risk analysis methods that capture observed features of risk, such as heavy tails, and validation of risk models against observed data. Students will be graded on the basis of projects drawn from multiple asset classes considered in the course work, including fixed income, options, portfolio optimization and foreign exchange. Professional standards for software development will be followed. Guest lectures by industry leaders will be included. Participation via conferencing software will be available as an option to class attendance.

3 credits, ABCDF grading

Textbooks:

Required:

“The Mathematics of Financial Derivatives, A Student Introduction" by Paul Wilmott, Sam Howison and Jeff Dewynne; 1st edition, published by Cambridge University Press, 1995, ISBN:  978-0521497893

Recommended for Supplementary Reading:

"Dynamic Asset Pricing Theory" by Darrell Duffie; 3rd edition; published by Princeton University Press; 2001, ISBN: 978-0691090221

 

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