Spring 2026

INDENG 223 001 - LEC 001

Financial Engineering Systems II

Matteo Santamaria, Xin Guo

Jan 20, 2026 - May 08, 2026

05:00 pm - 07:59 pm

Social Sciences Building 20

Class #:32834

Units: 3

Instruction Mode: In-Person Instruction

Offered through Industrial Engineering and Operations Research

Current Enrollment

Total Open Seats: 11

Enrolled: 54

Waitlisted: 0

Capacity: 65

Waitlist Max: 20

Open Reserved Seats:

13 reserved for IEOR MEng FinTech

6 reserved for Master of Analytics Grad

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

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.

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.