373: Introduction to Financial Engineering
Description
Financial markets, derivative securities, risk management, mathematical models in finance. Foreign exchange, debt, equity, commodity markets. Investing, trading, hedging, arbitrage. Forwards, futures, options, swaps, exotic derivatives. Models of price dynamics, binomial model, introduction to Black-Scholes theory and Monte Carlo simulation. Homework, projects, and guest speakers.
Prerequisites
315, 326, MATH 234, ECE 230, or equivalent, or consent of instructor.
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