ISE 563 Fall 2019 Syllabus PDF

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ISE 563 Financial Engineering - Fall 2019 Time Professor Email Office Office Hours

Monday 7:00 – 9:40 PM Gordon Delianedis, Ph.D. [email protected] : TBD : TBD

Teaching Assistant Office Hours e-mail

: Lou Zhiyuan : TBD : [email protected]

Textbooks Required Hull, J Options, Futures, and Other Derivatives, 10th ed., Prentice Hall, 2017 Bennet M, Hugen D., Financial Analytics with R, Cambridge, 2016 Grading Homework 30% Midterm 30% Final 40% Software R will be the primary software for homework exercises involving financial data. Course Objectives To familiarize the student with the financial background and mathematical tools necessary to analyze and solve financial investment problems. Problems will include the use of derivatives for hedging financial risk, valuation of financial products, portfolio optimization, and evaluation of financial strategies and risk control.

Week 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17

Date 8/26/2019 9/2/2019 9/9/2019 9/16/2019 9/23/2019 9/30/2019 10/7/2019 10/14/2019 10/21/2019 10/28/2019 11/4/2019 11/11/2019 11/18/2019 11/25/2019 12/2/2019 12/9/2019 12/16/2019

Topic Readings Introduction - Forwards, Futures, Hedging H: Ch3, Ch5, B: Ch2 Holiday Interest Rates and Swap Contracts H: Ch4, Ch7 H: Ch 11-13, Ch 21.1-21.5, B:Ch14 Options: Discrete Binomial Model Continuous Time Mathematics H: Ch 14-15, B15 Black-Scholes Model and Applications H: Ch 14-15, B15 Volatility: Realized and Implied H: Ch 20, Ch 23 Greeks and Hedging H: Ch 19 Exotic Options H: Ch 26 Midterm Interest Rate Term Structure H: Ch 29 Interest Rate Options H: Ch 29 Credit Risk/Derivatives H: Ch 24-25 Portfolio Hedging and Optimization B: Ch7-8 Risk Management: Value at Risk H: Ch 22 Study Day Final

Students with Disabilities Any student requesting academic accommodations based on a disability is required to register with Disability Services and Programs (DSP) each semester. A letter of verification for approved accommodations can be obtained from DSP. Please be sure the letter is delivered to me (or to TA) as early in the semester as possible. DSP is located in STU 301 and is open 8:30 a.m. to 5:00 p.m. Monday – Friday. The phone number for DSP is (213) 740-0776.

Desire2learn Class notes are available at http://courses.uscden.net . For general instructional support assistance please contact the Instructional Support Center office at [email protected] or (213) 821-1421. For any other technical support issue, please contact the Technical Support Center at [email protected] or (213) 821-1321....