Academic Catalog 2020–2021

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Courses

INE523 Financial Engineering

[3 cr.]

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. Numerical techniques: finite-difference, binomial method, and Monte Carlo simulation.

Prerequisites: INE308 Stochastic Processes and consent of instructor.