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IEOR 221

Introduction to Financial Engineering Fall 2019

Lectures

Thursday

2:00 - 5:00 PM

Kroeber 160

Discussion

Friday

5:00 - 6:00 PM

North Gate 105

Instructor

Ilan Adler

GSI

Office

Etcheverry 4183

Phone

(510) 642-4897

E-mail

[email protected]

Office Hours

Monday 1:00 - 2:00 PM

Haoyang Cao Office

Etcheverry 4176B

E-mail

[email protected]

Office Hours

Wednesday 3:30 - 5:00 PM and by appointment

A course on fundamental financial concepts, in particular those associated with risk, uncertainty and time value of money. We will cover, among other topics, interest rates analysis, optimal portfolio selection, risk measures, arbitrage, hedging strategies and stock derivative pricing, including forwards, futures, and options.

General information • Required background: Basic knowledge of calculus, linear algebra, probability and optimization. • Textbook : David. L. Luenberger, Investment Science, second edition, Oxford University Press. • Assignments : There will be a weekly assignment submitted electronically on Gradescope. • Exams : There will be a midterm (TBD) and a final (12/17/19 8-11 AM, no exceptions), both are open books. • Grading : Assignments: 15%, Midterm: 30%, Final: 55%. • Emails: Please include “[IEOR221]” at the beginning of the subject of all emails sent to the instructor and/or GSI’s (in order to filter them better)

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Course outline 1. Basic theory of interest. Text: chapter 2. 2. Fixed income securities. Text: chapter 3. 3. The term structure of interest rates. Text: chapter 4. 4. Optimal portfolio theory and CAPM (Capital Asset Pricing Model). Text: chapters 6,7. 5. Risk Measures. Text: chapter 10. 6. Forwards and futures. Text: chapter 12. 7. Basic options theory. Text: chapters 13-15. 8. (Time permitted) Credit Risk. Text: chapter 17.

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