2019 Fall
INDENG 221 001 - LEC 001
Introduction to Financial Engineering
Current Enrollment
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0
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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, DECEMBER 17TH
08:00 am - 11:00 am
Genetics & Plant Bio 100
Other classes by Ilan Adler
Course Catalog Description
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.
Rules & Requirements
Repeat Rules
Course is not repeatable for credit.
Reserved Seats
Current Enrollment
No Reserved Seats