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,

※ 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

[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.