IE 420 - Financial Engineering
|Financial Engineering||IE420||GO||58926||OLC||4||1730 - 2030||M||David Lariviere|
|Financial Engineering||IE420||UO||58927||OLC||3||1730 - 2030||M||David Lariviere|
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Financial engineering is the application of mathematical, statistical and engineering methods and computing techniques for solving financial problems. IE 420 is an introductory course in this area. It is suitable for undergraduate and graduate students with basic probability and statistics background and computer programming skills. IE 420 introduces the basic theory and practice of financial engineering. The materials that will be covered include: basics of derivative securities and risk management; Markowitz portfolio theory and capital asset pricing model; interest rates and bonds; forward and futures contracts and hedging using futures contracts; option contracts and arbitrage relationships; binomial model, no-arbitrage pricing, risk-neutral pricing and American options pricing; Brownian motion, Black-Scholes-Merton model, delta hedging, Greek letters, implied volatility and volatility smiles. In addition to regular homework assignments, the course usually comes with essays and a project. 3 undergraduate hours. 4 graduate hours. Prerequisite: IE 300.