IE 420

Fall 2010 All Classes

All Classes

Financial Engineering

Credit: 3 OR 4 hours.

Introduction to the theory and practice of financial engineering: basics of derivative securities and risk management; Markowitz portfolio theory and capital asset pricing model; interest rate and bonds; forward and futures contracts, hedging using futures contracts; option contracts and arbitrage relationship; binomial model, no-arbitrage pricing, risk-neutral pricing, and American options pricing; Brownian motion, Black-Scholes-Merton model, delta hedging, Greek letters, implied volatility, and volatility smile.

3 undergraduate hours. 4 graduate hours. Prerequisite: GE 331 or IE 300.

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IE 420 class schedule data for fall 2010
	CRN	Type	Section	Time	Day	Location	Instructor	Section Details
	55732	Lecture-Discussion	G	12:30PM -1:50PM	TR	101 Transportation Building	Feng, L	Part of Term: 1 Date Range: 08/23/10-12/08/10 Credit: 4 hours Restriction(s): Restricted to Graduate - Urbana-Champaign.
	55483	Lecture-Discussion	U	12:30PM -1:50PM	TR	101 Transportation Building	Feng, L	Part of Term: 1 Date Range: 08/23/10-12/08/10 Credit: 3 hours Restriction(s): Not intended for Graduate - Urbana-Champaign.