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Introduction to Financial Engineering

 

IMEN486 Introduction to Financial Engineering: Syllabus

 

※ Date : Tuesday and Thursday 14:00-15:15

※ Lecture room : 4th Science building, Room #407

※ Lecturer : Bong-Gyu Jang

(4th Science building, Tel: 279-2372, bonggyujang@postech.ac.kr)

※ Office hour : Tuesday and Thursday 15:15-16:15.

※ The objective of this course is to introduce the basic models for pricing financial derivatives to the students. For this, we explore:

1. Financial derivative markets,

2. basic financial modelling,

4. option pricing models, and

5. other related topics.

The prerequisite for this course: Basic probability theories, Basic theories in Eng. Math..

※ Grading policy : Mid-term Exam(30%), Final Exam(30%), Homeworks(announced during the classes, 4 times, 10%), term project and/or Presentation(20%), Class Participation(10%)

※ Expected schedule

 

week

subject

references

1

Financial Markets

[H] A pdf document will be distributed

2

Binomial Model

3

Asset Price Random Walks

[WHD], Part One: Basic Option Theory (Chapter 2,3,6,7)

4

The Black-Scholes Model (1)

5

The Black-Scholes model (2)

6

Variations on the Black-Scholes Model

7

American options

8

Mid-term Exam (10.23)

 

9

Finite Difference Method

[WHD], Part Two: Numerical Methods (Chapter 8,9)

10

Methods for American Options

11

Monte-Carlo Simulation

[CS], Chapter 4

12

Other Options: Barrier, Asian, Lookback

[WHD], Part Three: Further Option Theory

13

Interest Rates

[H] Chapter 4

14

Swaps

[H] Chapter 7

15

Credit Risk

[H] Chapter 23

16

Final Exam (12.18)

 

 

[WHD] P. Wilmott, S. Howison, and J. Dewynne, The Mathematics of Financial Derivatives: A student introduction, Cambridge univ. press, 1995.

[H] J. C. Hull, Options, Futures, and Other Derivatives, 8th Ed (Global Ed.). Pearson.

[CS] L. Clewlow and C. Strickland, Implementing Derivatives Models, Wiley, 1998.