Associate Professor of Professional Practice and Co-Director of the Center for Financial Engineering
Martin Haugh originally joined the Industrial Engineering and Operations Research Department in January 2002 after completing his PhD in Operations Research at MIT. He was a faculty member in the IEOR department until June 2005 and during this time his teaching and research focused on financial...
IEORE4706 Foundations of Financial Engineering
Instructor: Martin Haugh
3 pts. Lect: 3. IEOR E4701: Stochastic Models for Financial Engineering, and linear algebra. This graduate course is only for MS Program in FE students. This course covers topics such as discrete-time models of equity, bond, credit, and foreign-exchange markets; introduction to derivative markets; arbitrage and fundamental theorem of asset pricing; pricing and hedging of derivative securities; complete and incomplete markets. Introduction to portfolio optimization, mean variance analysis, the capital asset pricing model, and the arbitrage pricing theory.