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 donít 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.
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.