Number: 45816
Title: Studies in Financial Engineering
Concentration: Finance
Prerequisites: 45814 - Options
Description: This is a course about using Financial Engineering to solve practical risk management problems. We will specifically consider business risks in corporate cash flows arising from non-linear andor path-dependent exposures to interest rates equity prices credit risk and commodity prices. The main tools used to solve these problems are Risk Neutral Valuation and Monte Carlo Simulation. The highlight of the course is a series of in-class case presentations.