Fall

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.



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