Spring 2025

INDENG 222 001 - LEC 001

Financial Engineering Systems I

Thibaut Mastrolia

Jan 21, 2025 - May 09, 2025

Mo, We

11:00 am - 11:59 am

Physics Building 2

Jan 21, 2025 - May 09, 2025

11:00 am - 11:59 am

Physics Building 4

Class #:29649

Units: 3

Instruction Mode: In-Person Instruction

Offered through Industrial Engineering and Operations Research

Current Enrollment

Total Open Seats: 21

Enrolled: 49

Waitlisted: 0

Capacity: 70

Waitlist Max: 5

Open Reserved Seats:

4 unreserved seats

10 reserved for Industrial Engineering and Operations Research: Master of Science, Master of Engineering, and PhD Students

7 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 Thibaut Mastrolia

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.

Class Notes

Must have previously completed or be currently enrolled in INDENG 221 and plan to take INDENG 222 concurrently OR need approval from the instructor to remain enrolled.