INE772 Advanced Financial Engineering

[3–0, 3 cr.]

This course is a review of basic mathematics, including renewal theory and stochastic calculus,Martingale approach to Black-Scholes formula, optimal stopping and American options, pricing of continuous and discrete exotic options, term structure models and pricing of bond options, jump diffusion models, and applications, including pricing of real and electricity options, and hedging of real options. 

Prerequisite: INE709 Advanced Stochastic Processes

Note: This course has not been taught since Fall 2021 and will not be taught during the academic year 2023-2024.