Advanced Topics in Financial Engineering

MEIE811E Advanced Topics in Financial Engineering

(경영공학특론: 금융공학의 고등논제) Syllabus

※ Professor : Bong-Gyu Jang (Room #421 in 4th Sci. building, 279-2372)

※ Spring 2013 (3-0-3)

※ The objective of this course is to introduce the recent topics in financial engineering, focusing on the

basic theory of fixed income securities. For this, we explore:

1. the basic theory of fixed income securities (bonds),

2. interest rate derivative pricing models and their applications, and

3. recent topics in financial engineering such as financial risk management.

※ The prerequisite for this course:

Introduction to Financial Engineering (IMEN 486)

※ Textbook:

John C. Hull, Options, Futures, & Other Derivatives, Prentice-Hall International, Inc. (7th edition)

※ References

- Damiano Brigo and Fabio Mercurio, Interest Rate Models - Theory and Practice, Springer.

- Jessica James and Nick Webber, Interest Rate Modelling, Wiley.

- Kay Giesecke, Credit Risk Modelling and Valuation: An Introduction, Cornell University

- Les Clewlow and Chris Strickland, Implementing Derivatives Models, Wiely.

※ Grading policy: Exam (once) 40%, Homework 20%,

Term Project & Presentation 30%, Class participation 10%

※ Expected schedule