A course on financial concepts useful for engineers that will cover, among other topics, those of interest rates, present values, arbitrage, geometric Brownian motion, options pricing, & portfolio optimization. The Black-Scholes option-pricing formula will be derived and studied. Stochastic simulation ideas will be introduced and used to obtain the risk-neutral geometric Brownian motion values for certain types of Asian, barrier, and lookback options. Portfolio optimization problems will be considered both from a mean-variance and from a utility function point of view. Methods for evaluating real options will be presented. The use of mathematical optimization models as a framework for analyzing financial engineering problems will be shown.

If you are interested in taking additional Financial Engineering courses in the spring, it’s highly encouraged to take this course in the fall. Undergradautes interested in enrolling please complete the form at https://forms.gle/ptzwBss5HTKj8moF9 Note enrollment for undergraduates will not begin until the adjustment period.

Repeat Rules

Course is not repeatable for credit.