Academic Catalog 2018–2019

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INE771 Financial Engineering

[3–0, 3 cr.]

This course is an introduction to financial models: mean-variance analysis, portfolio selection, separation theorems, capital asset pricing, arbitrage pricing, derivative security pricing, bond management, modeling, analysis, and computation of derivative securities. Applications of stochastic calculus and stochastic differential equations are covered, as well as numerical techniques: finite-difference, binomial method, and Monte Carlo simulation. 

Prerequisites: INE704 Stochastic Processes.