FE530 Introduction to Financial Engineering
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 | |
Web Campus | X | X |
Instructors
Professor | Office | |
---|---|---|
Papa Ndiaye | Papa.Ndiaye@stevens.edu |
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
- Class Participation/Homework (25%)
- Project: (25%)
- Midterm Exam (25%)
- Final Project (25%)
- 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.
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 |