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IE 412 Financial Engineering Select Term:
This course serves as a comprehensive introduction to derivative securities and their applications in financial engineering. Forward contracts, futures, options, and swaps are the focal point of the course. While the main emphasis is on the use of derivatives as risk-transferring/ minimizing devices, valuations of such contracts are also included. In addition to hedging strategies to be created by any of the derivative securities, various trading strategies involving options (spreads and combinations) are presented. A solid coverage of no-arbitrage-based pricing is provided as the common underlying premise to valuing derivative securities. Cost-of-carry valuation of forwards and futures, binomial pricing of options, dynamic delta-hedging, the Black-Scholes option pricing formula, basic numerical pricing are introduced.
SU Credits : 3.000
ECTS Credit : 6.000
Prerequisite : Undergraduate level MS 303 Minimum Grade of D OR Undergraduate level IE 303 Minimum Grade of D
Corequisite : IE 412