IEOR E4602: Quantitative Risk
Management (Columbia University, Spring 2016)
I
last taught this advanced-level MS course in fall 2016 in the IE&OR
Department at Columbia University. It is an elective course for the MS in
Financial Engineering and MS in Operations Research programs at Columbia. I will not
be posting solutions to the assignments or code / software so please don’t send
me an email asking me to do so! Finally,
please note that I do not have time to
answer emails asking me to clarify or explain issues arising in these notes
and assignments. A syllabus and description of the course logistics can be
found here.
Lecture Notes
10. Risk Management & Time Series
(Nor did the course get this far in 2016)
A brief review of some derivatives pricing theory
can be found here. It might be of some
use for some parts of the course.
Assignments