Spring 2023

INDENG 222 001 - LEC 001

Financial Engineering Systems I

Thibaut Mastrolia

Jan 17, 2023 - May 05, 2023

Tu, Th

09:30 am - 10:59 am

Social Sciences Building 170

Class #:28691

Units: 3

Instruction Mode: In-Person Instruction

Offered through Industrial Engineering and Operations Research

Current Enrollment

Total Open Seats: 3

Enrolled: 58

Waitlisted: 0

Capacity: 61

Waitlist Max: 3

Open Reserved Seats:

1 reserved for Industrial Engineering and Operations Research: Master of Science or PhD Students

15 reserved for Students with Enrollment Permission

Hours & Workload

3 hours of instructor presentation of course materials per week, 1 hours of the exchange of opinions or questions on course material per week, and 5 hours of outside work hours per week.

Introductory graduate level course, focusing on applications of operations research techniques, e.g., probability, statistics, and optimization, to financial engineering. The course starts with a quick review of 221, including no-arbitrage theory, complete market, risk-neutral pricing, and hedging in discrete model, as well as basic probability and statistical tools. It then covers Brownian motion, martingales, and Ito's calculus, and deals with risk-neutral pricing in continuous time models. Standard topics include Girsanov transformation, martingale representation theorem, Feyman-Kac formula, and American and exotic option pricings. Simulation techniques will be discussed at the end of the semester, and MATLAB (or C or S-Plus) will be used for computation.