Spring 2025

INDENG 221 001 - LEC 001

Introduction to Financial Engineering

Ilan Adler

Jan 21, 2025 - May 09, 2025

02:00 pm - 04:59 pm

North Gate 105

Class #:29714

Units: 3

Instruction Mode: In-Person Instruction

Offered through Industrial Engineering and Operations Research

Current Enrollment

Total Open Seats: 26

Enrolled: 74

Waitlisted: 0

Capacity: 100

Waitlist Max: 10

Open Reserved Seats:

35 reserved for Master of Analytics Grad

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

Hours & Workload

3 hours of instructor presentation of course materials per week, 6 hours of outside work hours per week, and 1 hours of the exchange of opinions or questions on course material per week.

Final Exam

TUE, MAY 13TH

11:30 am - 02:30 pm

Social Sciences Building 20

A course on financial concepts useful for engineers that will cover, among other topics, those of interest rates, present values, arbitrage, geometric Brownian motion, options pricing, & portfolio optimization. The Black-Scholes option-pricing formula will be derived and studied. Stochastic simulation ideas will be introduced and used to obtain the risk-neutral geometric Brownian motion values for certain types of Asian, barrier, and lookback options. Portfolio optimization problems will be considered both from a mean-variance and from a utility function point of view. Methods for evaluating real options will be presented. The use of mathematical optimization models as a framework for analyzing financial engineering problems will be shown.