Spring 2026

INDENG 222 001 - LEC 001

Financial Engineering Systems I

Thibaut Mastrolia

Jan 20, 2026 - May 08, 2026

05:00 pm - 07:59 pm

Valley Life Sciences 2060

Class #:29648

Units: 3

Instruction Mode: In-Person Instruction

Offered through Industrial Engineering and Operations Research

Current Enrollment

Total Open Seats: 23

Enrolled: 47

Waitlisted: 0

Capacity: 70

Waitlist Max: 10

Open Reserved Seats:

21 reserved for IEOR MEng FinTech

14 reserved for Master of Analytics Grad

9 reserved for Industrial Engineering and Operations Research: Master of Engineering Students

Hours & Workload

1 hours of discussion per week, 3 hours of lecture 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.