Acquire a solid background in the fundamentals of financial engineering. Develop useful modeling, analytical, and computational skills in derivative pricing and risk hedging. Most courses 4000-level and above can be credited to all degree programs.
All courses are subject to advisor approval.
TBA, if any. The focus is on stochastic modeling, analysis, and numerical solution techniques. J.C. Hull, Prentice Hall, Englewood Cliffs, NJ, 4th ed., 1999. Financial Calculus, M. Baxter and A. Rennie, Cambridge University Press, New York, 1996. Most likely on Monday of the week after the end of class.