INTRO TO FINANCIAL ENGINEERING
Prerequisite: IEOR E4106 or the equivalent. Introduction to investment and financial instruments via portfolio theory and derivative securities, using basic operations research/engineering methodology. Portfolio theory, arbitrage; Markowitz model, market equilibrium, and the capital asset pricing model. General models for asset price fluctuations in discrete and continuous time. Elementary introduction to Brownian motion and geometric Brownian motion. Option theory; Black-Scholes equation and call option formula. Computational methods such as Monte Carlo simulation.
Department: Industrial Engineering and Operations Research(IEOR)
Subject: Industrial Engineering and Operations Research(IEOR)
School: Fu Foundation School of Engineering and Applied Science
Division: School of Engineering and Applied Science: Graduate
Course ID: 4700