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