Case Assignment #5: Cephalon
1. As the date of the FDA meeting approaches and the possible need for cash
looms, Cephalon faces a number of choices, not just whether or not to buy
the options. Look at the decision tree on page 6. How should Cephalon make

Case Assignment #3: Antamina
There are 2 cases inside this one case. The first case is a risk and valuation
case. The second case is a bidding and negotiation case. We will focus on the
first and ignore the second. Assume for purposes of our discussion t

Chapter 3: Why Companies Manage Risk
3.1
Which Side Are You On?
Although the many different parts of the firm all face problems involving risk, the
problems are very different. As we mentioned in the last chapter, the problem facing a
commodity trader is

Oleksandr Romanko
Senior Research Analyst, Risk Analytics Business Analytics, IBM
January 26, 2016
Computational Finance and Risk Management
Lecture 4 Equity Portfolio Selection in
Practice
MIE 1622H
Lecture outline
Mean-variance portfolio selection
Comp

Oleksandr Romanko
Senior Research Analyst, Risk Analytics Business Analytics, IBM
January 19, 2016
Computational Finance and Risk Management
Lecture 3 Mean-Variance Portfolio
Selection
MIE 1622H
Lecture outline
Overview of optimization techniques
Linear

Oleksandr Romanko
Senior Research Analyst, Risk Analytics Business Analytics, IBM
February 2, 2016
Computational Finance and Risk Management
Lecture 5 Equity Portfolio Selection in
Practice
MIE1622H
Lecture outline
Equity portfolio selection in practice

Oleksandr Romanko
Senior Research Analyst, Risk Analytics Business Analytics, IBM
January 12, 2016
Computational Finance and Risk Management
Lecture 2 Review of Matlab, Linear
Algebra and Matrix Computations
MIE 1622H
Lecture outline
Introduction to Matla

MIE 1622H: Assignment 3 Credit Risk Modeling and Simulation
Dr. Oleksandr Romanko
March 1, 2016
Due: Tuesday, March 22, 2016, not later than 6:00 p.m.
Use MATLAB for all MIE 1622H assignments.
You should hand in:
Your report.
Compress all of your MATLAB

MIE 1622H: Assignment 1 Mean-Variance
Portfolio Selection Strategies
Dr. Oleksandr Romanko
January 22, 2016
Due: Tuesday, February 9, 2016, not later than 6:00 p.m.
Use MATLAB for all MIE 1622H assignments.
You should hand in:
Your report.
Compress all

MIE 1622H: Assignment 4 Asset Pricing
Dr. Oleksandr Romanko
March 22, 2016
Due: Tuesday, April 5, 2016, not later than 6:00 p.m.
Use MATLAB for all MIE 1622H assignments.
You should hand in:
Your report.
Compress all of your MATLAB code files and output

MIE 1622H: Assignment 2 Risk-Based and Robust
Portfolio Selection Strategies
Dr. Oleksandr Romanko
February 8, 2016
Due: Tuesday, February 23, 2016, not later than 6:00 p.m.
Use MATLAB for all MIE 1622H assignments.
You should hand in:
Your report.
Comp

MIE1622H Computational Finance and Risk Management
Department of Mechanical and Industrial Engineering, University of Toronto
Oleksandr Romanko, Ph.D., Senior Research Analyst Quantitative Research,
Risk Analytics, Business Analytics, IBM
oleksandr.romank

Chapter 1: Introduction
1.1
The Revolution in Risk Management
Risk management as it is currently taught is a relatively new field in the domain of
finance. Why? What makes it new?
Risk has always been at the center of business. Any company that makes an i

Chapter 6: Measuring RiskDynamic Models
Part AThe Random Walk Model of Stock Prices
Recent decades have witnessed revolutionary advances in the tools used to model risk
and to price risky financial assets. The Black-Scholes-Merton approach to option prici

Chapter 9: Pricing Risk
Corporate managers price risk all the time when they discount a cash flow to its present
value using a risk-adjusted discount rate. Future cash flows are discounted not only to account for
the time value of money, but also to accou

Chapter 2: How Companies Manage Risk
2.1
Everyone is a Risk Manager
The term risk management can mean different things to different people. In the last few
decades, with the rise of financial engineering, the term risk management has become strongly
assoc

Oleksandr Romanko
Senior Research Analyst, Risk Analytics Business Analytics, IBM
January 5, 2016
Computational Finance and Risk Management
Lecture 1 Introduction
MIE 1622H
About me
Dr. Oleksandr Romanko
Senior Research Analyst, Quantitative Research at R