Spring 2024
INDENG 223 1 - LEC 1
Financial Engineering Systems II
Xin Guo
Class #:31962
Units: 3
Instruction Mode:
In-Person Instruction
Offered through
Industrial Engineering and Operations Research
Current Enrollment
Total Open Seats:
40
Enrolled: 35
Waitlisted: 0
Capacity: 75
Waitlist Max: 30
Open Reserved Seats:
27 reserved for Industrial Engineering and Operations Research: Master of Science, Master of Engineering, and PhD Students
18 reserved for Master of Analytics Grad
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.
Other classes by Xin Guo
Course Catalog Description
Advanced graduate course for Ph.D. students interested in pursuing a professional/research career in financial engineering. The course will start with a quick review of 222: the basics of Brownian motion, martingales, Ito's calculus, risk-neutral pricing in continuous time models. It then covers rigorously and in depth the most fundamental probability concepts for financial engineers, including stochastic integral, stochastic differential equations, and semi-martingales. The second half of the course will discuss the most recent topics in financial engineering, such as credit risk and analysis, risk measures and portfolio optimization, and liquidity risk and models.
Class Notes
Must have previously completed INDENG 221 and INDENG 222 OR need approval from the instructor to remain enrolled.
Rules & Requirements
Repeat Rules
Course is not repeatable for credit.
Reserved Seats
Current Enrollment
Open Reserved Seats:
27 reserved for Industrial Engineering and Operations Research: Master of Science, Master of Engineering, and PhD Students
18 reserved for Master of Analytics Grad
Textbooks & Materials
See class syllabus or https://calstudentstore.berkeley.edu/textbooks for the most current information.
Guide to Open, Free, & Affordable Course Materials