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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

 

week

material

subjects

1

Textbook

&

References

 

1.Bonds & Interest Rates

- interest rates (Chapter 4 of Hull)

- interest rate futures (Chapter 6 of Hull)

- swaps (Chapter 7 of Hull)

- derivatives: standard market models (Chapter 28 of Hull)

- various risk adjustments (Chapter 29 of Hull)

- short rate models (Chapter 30 of Hull)

- HJM & LMM (Chapter 31 of Hull)

- other financial products (Chapter 32 of Hull)

2. Financial Risk Management

- VaR: value at risk (Chapter 20 of Hull)

- credit risk (Chapter 22 of Hull)

- credit derivatives (Chapter 23 of Hull)

2

3

4

5

6

7

8

9

10

11

12

Exam

May 22( expected)

13

Presentation

term project presentation scheduled

14

15

16

Summary

course summary & discussions