Difference between revisions of "FE530 Introduction to Financial Engineering"

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{{Template:Test_Temp
  
 
|Name = [[Saverio Minervini]]
 
|Name = [[Saverio Minervini]]
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<p> </p>
 
<p> </p>
 
<p> </p>  
 
<p> </p>  
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|LectureOutline =
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|Week1 = Week 1
 +
|Topic1 = Introduction to Financial Engineering
 +
|Reading1 = Ch. 1 and 2
 +
|Week2 = Week 2
 +
|Topic2 = Capital Markets Overview
 +
|Reading2 = Ch. 3
 +
|Week3 = Week 3
 +
|Topic3 = Corporate Finance & Valuation
 +
|Reading3 = Ch. 3
 +
|Week4 = Week 4
 +
|Topic4 = Equity Analysis
 +
|Reading4 = Ch. 4
 +
|Week5 = Week 5
 +
|Topic5 = Fixed Income Debt Securities
 +
|Reading5 = Ch. 4
 +
|Week6 = Week 6
 +
|Topic6 = Overview of Bonds Sectors & Instruments
 +
|Reading6 = Ch. 4
 +
|Week7 = Week 7
 +
|Topic7 = Valuation of Debt Securities
 +
|Reading7 = Ch. 4
 +
|Week8 = Week 8
 +
|Topic8 =Securitized Products
 +
|Reading8 =
 +
|Week9 = Week 9
 +
|Topic9 = Leveraged Loans & CLO's
 +
|Reading9 = Ch. 5
 +
|Week10 = Week 10
 +
|Topic10 = General Principles of Credit Analysis
 +
|Reading10 = Ch. 5
 +
|Week11 = Week 11
 +
|Topic11 = Foreign Exchange
 +
|Reading11 = Ch. 6
 +
|Week12 = Week 12
 +
|Topic12 = Poisson Processes and Jump Diffusion
 +
|Reading12 = Ch. 11
 +
|Week13 = Week 13
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|Topic13 = Exotic Options
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|Reading13 = Ch. 7
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|Week14 = Week 14
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|Topic14 = Review &amp; Catch-up
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|Reading14 =
 
}}
 
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== Lecture Outline ==
 
<table style="height: 233px; width: 600px;" border="1">
 
 
<tr style="height: 15px;">
 
<td style="width: 118px; height: 15px; text-align: center;">Week </td>
 
<td style="width: 248px; height: 15px; text-align: center;">Date</td>
 
<td style="width: 310px; height: 15px; text-align: center;">Subject</td>
 
</tr>
 
<tr style="height: 37px;">
 
<td style="width: 118px; height: 37px; text-align: center;">
 
<p>1</p>
 
</td>
 
<td style="width: 248px; height: 37px; text-align: center;">1-Sep-16</td>
 
<td style="width: 310px; height: 37px; text-align: center;">Introduction to Financial Engineering &amp; Capital Markets Overview</td>
 
</tr>
 
<tr style="height: 37px;">
 
<td style="width: 118px; height: 37px; text-align: center;">
 
<p>2</p>
 
</td>
 
<td style="width: 248px; height: 37px; text-align: center;">8-Sep-16</td>
 
<td style="width: 310px; height: 37px; text-align: center;">Capital Markets Overview</td>
 
</tr>
 
<tr style="height: 37px;">
 
<td style="width: 118px; height: 37px; text-align: center;">
 
<p>3</p>
 
</td>
 
<td style="width: 248px; height: 37px; text-align: center;">15-Sep-16</td>
 
<td style="width: 310px; height: 37px; text-align: center;">Corporate Finance &amp; Valuation </td>
 
</tr>
 
<tr style="height: 37px;">
 
<td style="width: 118px; height: 37px; text-align: center;">
 
<p>4</p>
 
</td>
 
<td style="width: 248px; height: 37px; text-align: center;">22-Sep-16</td>
 
<td style="width: 310px; height: 37px; text-align: center;">Equity Analysis</td>
 
</tr>
 
<tr style="height: 37px;">
 
<td style="width: 118px; height: 37px; text-align: center;">
 
<p>5</p>
 
</td>
 
<td style="width: 248px; height: 37px; text-align: center;">29-Sep-16</td>
 
<td style="width: 310px; height: 37px; text-align: center;">Fixed Income Debt Securities </td>
 
</tr>
 
<tr style="height: 37px;">
 
<td style="width: 118px; height: 37px; text-align: center;">
 
<p>6</p>
 
</td>
 
<td style="width: 248px; height: 37px; text-align: center;">6-Oct-16</td>
 
<td style="width: 310px; height: 37px; text-align: center;">Overview of Bonds Sectors &amp; Instruments</td>
 
</tr>
 
<tr style="height: 37px;">
 
<td style="width: 118px; height: 37px; text-align: center;">
 
<p>7</p>
 
</td>
 
<td style="width: 248px; height: 37px; text-align: center;">13-Oct-16</td>
 
<td style="width: 310px; height: 37px; text-align: center;">Valuation of Debt Securities</td>
 
</tr>
 
<tr style="height: 37px;">
 
<td style="width: 118px; height: 37px; text-align: center;">
 
<p>8</p>
 
</td>
 
<td style="width: 248px; height: 37px; text-align: center;">20-Oct-16</td>
 
<td style="width: 310px; height: 37px; text-align: center;">Securitized Products</td>
 
</tr>
 
<tr style="height: 37px;">
 
<td style="width: 118px; height: 37px; text-align: center;">
 
<p>9</p>
 
</td>
 
<td style="width: 248px; height: 37px; text-align: center;">27-Oct-16</td>
 
<td style="width: 310px; height: 37px; text-align: center;">Leveraged Loans &amp; CLO's</td>
 
</tr>
 
<tr style="height: 32px;">
 
<td style="width: 118px; height: 32px; text-align: center;">
 
<p>10</p>
 
</td>
 
<td style="width: 248px; height: 32px; text-align: center;">3-Nov-16</td>
 
<td style="width: 310px; height: 32px; text-align: center;">General Principles of Credit Analysis</td>
 
</tr>
 
<tr style="height: 37px;">
 
<td style="width: 118px; height: 37px; text-align: center;">
 
<p>11</p>
 
</td>
 
<td style="width: 248px; height: 37px; text-align: center;">10-Nov-16</td>
 
<td style="width: 310px; height: 37px; text-align: center;">Foreign Exchange</td>
 
</tr>
 
<tr style="height: 37px;">
 
<td style="width: 118px; height: 37px; text-align: center;">
 
<p>12</p>
 
</td>
 
<td style="width: 248px; height: 37px; text-align: center;">17-Nov-16</td>
 
<td style="width: 310px; height: 37px; text-align: center;">Commodities</td>
 
</tr>
 
<tr style="height: 37px;">
 
<td style="width: 118px; height: 37px; text-align: center;">
 
<p>13</p>
 
</td>
 
<td style="width: 248px; height: 37px; text-align: center;">24-Nov-16</td>
 
<td style="width: 310px; height: 37px; text-align: center;">Derivatives &amp; Options</td>
 
</tr>
 
<tr style="height: 37px;">
 
<td style="width: 118px; height: 37px; text-align: center;">
 
<p>14</p>
 
</td>
 
<td style="width: 248px; height: 37px; text-align: center;">1-Dec-16</td>
 
<td style="width: 310px; height: 37px; text-align: center;">Derivatives &amp; Options </td>
 
</tr>
 
<tr style="height: 37px;">
 
<td style="width: 118px; height: 37px; text-align: center;">
 
<p>15</p>
 
</td>
 
<td style="width: 248px; height: 37px; text-align: center;">8-Dec-16</td>
 
<td style="width: 310px; height: 37px; text-align: center;">Alternative Investments </td>
 
</tr>
 
<tr style="height: 37px;">
 
<td style="width: 118px; height: 37px; text-align: center;">
 
<p>16</p>
 
</td>
 
<td style="width: 248px; height: 37px; text-align: center;">15-Dec-16</td>
 
<td style="width: 310px; height: 37px; text-align: center;">Research Presentations</td>
 
</tr>
 
 
</table>
 

Revision as of 13:20, 22 February 2018



Course Catalog Description

Introduction

coming soon.
Campus Fall Spring Summer
On Campus {{{Opening_Term_Fall_On_Camp}}} {{{Opening_Term_Spring_On_Camp}}} {{{Opening_Term_Summer_On_Camp}}}
Web Campus {{{Opening_Term_Fall_Web_Camp}}} {{{Opening_Term_Spring_Web_Camp}}} {{{Opening_Term_Summer_Web_Camp}}}

Instructors

Professor Email Office
Saverio Minervini
sminervi@stevens.edu



More Information

Course Description

The main topics include: equities, fixed‐ income securities, options, futures and other derivatives. Also, we will discuss about their pricing models and investment strategies. 

Course Outcomes

Build up the basic knowledge of the capital markets, various financial instruments as key concepts in risk management.


Course Resources

Textbook

There are no required textbooks for this course, and I will cover the material in class with class notes, which will be posted before each class.

Additional References

(NOT REQUIRED)

  • John Hull, Options, Futures, and Other Derivatives, (ISBN-13: 978-0133456318)
  • Damodaran on Valuation: Security Analysis for Investment and Corporate Finance (ISBN-13: 978- 0471751212)
  • Frank J. Fabozzi, Fixed Income Analysis, (ISBN-13: 978-0470052211)
  • Helyette Geman, Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy (ISBN-13: 978-0470012185)



Grading

Grading Policies

  • Class Participation: 15%
  • Assignments: 15%
  • Research Project: 70% 

 

 


Lecture Outline

Topic Reading
Week 1 Introduction to Financial Engineering Ch. 1 and 2
Week 2 Capital Markets Overview Ch. 3
Week 3 Corporate Finance & Valuation Ch. 3
Week 4 Equity Analysis Ch. 4
Week 5 Fixed Income Debt Securities Ch. 4
Week 6 Overview of Bonds Sectors & Instruments Ch. 4
Week 7 Valuation of Debt Securities Ch. 4
Week 8 Securitized Products
Week 9 Leveraged Loans & CLO's Ch. 5
Week 10 General Principles of Credit Analysis Ch. 5
Week 11 Foreign Exchange Ch. 6
Week 12 Poisson Processes and Jump Diffusion Ch. 11
Week 13 Exotic Options Ch. 7
Week 14 Review & Catch-up