FE530 Introduction to Financial Engineering

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Course Catalog Description

Introduction

This course introduces a range of topics that the current scope of financial engineering encompasses. Topics include basic terminology and definitions, markets, instruments, positions, conventions, cash flow engineering, simple derivatives, mechanics of options, derivatives engineering, arbitrage-free theorem, efficient market hypothesis, introductory pricing tools, and volatility engineering.
Campus Fall Spring Summer
On Campus X X X
Web Campus X X X

Instructors

Professor Email Office
Jonathan Kaufman
jk2156@aol.com Babbio 303A



More Information

Course Description

Notes

Please help everyone have a better classroom experience by adhering to the following professional standards of behavior:

  • Cell phones are to be silenced and put in your bag during class time. (no texting)
  • Computer usage is limited to when the instructor specifically says it is ok. He may request that notes be taken by hand.
  • Attention should be focused on the class. This is especially true when we have guest speakers, as we need to be respectful of their time and willingness to share their insights.
  • If you need to leave the class early, please tell me before the class starts.
  • The class is short and it is important that you arrive on time.



Course Resources

Textbook

Paul Wilmott Introduces Quantitative Finance

Additional References

Ferguson Ascent of Money, Wall Street Journal, Bloomberg



Grading

Grading Policies

Grading will be based upon your attendance, participation, homework assignments, and final project. The percentage breakout of these components is indicated below. An average score of 60% or above will indicate a passing grade, and below 60% will be a failing grade.

Item Weight

Class Participation/Homework: 25%
Midterm Exam: 25%
Project: 25%
Final Exam: 25%


Lecture Outline

Topic Reading
Week 1 Introduction to course; What is FE?
Week 2 Money, Credit
Week 3 Insurance, Management Securitizatio
Week 4 Instruments; Bonds, Stock, Derivatives
Week 5 Commodities, Real Estate, Pools
Week 6 Tangible, Intangible, Contracts
Week 7 First project idea
Week 8 Midterm Exam
Week 9 Terms of Instruments
Week 10 First presentations
Week 11 First presentations
Week 12 Pricing of instruments
Week 13 Second presentations
Week 14 Second presentations