Financial Engineering - Discrete time models
This course will cover bond mathematics; introduction to forwards, futures and other derivative securities; discrete-time models of equity markets and the term structure; pricing and dynamic hedging of derivative securities; option pricing; introduction to real options; and portfolio optimization.
Market dynamics ans stock pricing.
Deterministic Cash Flows
Forwards, Swaps and Futures
Term structure construction
Martingale Pricing Theory
Application of Martingale Pricing: Options
Application of Martingale Pricing: Dynamic Portfolio Optimization
Investment Science by Luenberger. Oxford University Press. 1997
Options, Futures, and Other Derivatives by John C. Hull
Home Assignment 2, 3 : PPT
Form for Home Assignment 1: Form
Form for Home Assignment 2: Form
Form for Home Assignment 3: Form
Form for Home Assignment 4: Form