MEIE811E Advanced Topics in Financial Engineering
(경영공학특론: 금융공학의 고등논제) Syllabus
※ Professor : BongGyu Jang (Room #421 in 4th Sci. building, 2792372)
※ Spring 2013 (303)
※ 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, PrenticeHall 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

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