MS&E 345

Advanced Topics in Financial Engineering

Instructor: Jim Primbs
Course Description:  This course covers the fundamentals of derivative pricing and hedging.
Location and Time:  MW 9-10:15am in Thornton 110
Office Hours: MW 10:15-11:30am in 444 Terman

CA: Li Xu, Office Hours, Monday 3:30-5:30pm, Terman 473

Syllabus

Homework

Project

In-Class:

Exams:

Lecture Slides
Introduction
Math Preliminaries
A First Look at Black-Scholes

The Return Form of Arbitrage Pricing
Returns and Arbitrage
Application to Equity Derivatives
Application to Interest Rate Derivatives

The Linear Functional Form of Arbitrage Pricing
From Returns to Linear Functionals
Measure Theory
Linear Functionals and Arbitrage
Application to Pricing
Extending Linear Pricing
More Applications
Term Structure and Linear Pricing

Hedging
Hedging Principles

Lecture Notes

Project Presentation Schedule: Friday, March 13, 453 Terman