Academic Catalog 2024–2025

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Courses

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.

Note: This course has not been taught since Fall 2021 and will not be taught during the academic year 20234-2025.