2020 Fall
INDENG 223 101 - DIS 101
Financial Engineering Systems II
Xin Guo
Aug 26, 2020 - Dec 11, 2020
Th
05:00 pm - 05:59 pm
Internet/Online
Class #:28726
Units: 3
Instruction Mode:
Remote Instruction
Offered through
Industrial Engineering and Operations Research
Current Enrollment
Total Open Seats:
0
Enrolled:
Waitlisted:
Capacity:
Waitlist Max:
No Reserved Seats
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.
Rules & Requirements
Repeat Rules
Course is not repeatable for credit.
Reserved Seats
Current Enrollment
No Reserved Seats
Textbooks & Materials
See class syllabus or https://calstudentstore.berkeley.edu/textbooks for the most current information.
Guide to Open, Free, & Affordable Course Materials