FIN 678 - Financial Engineering

This course introduces financial engineering tools and studies the theory and practice of financial engineering. Students will learn to make decisions by taking into account such features as interest rate, and rate of return. They will learn the concept of arbitrage and its role in pricing different investments. Applications to call and put options will be discussed. The course will explore PDE techniques and martingale methods in a variety of contexts including equity option, currency option, fixed income derivatives and exotic derivatives. The main mathematical tool used is the theory of stochastic differential equations.
Lecture
3 Credits
Prerequisite: MBA 550
Offered When Needed