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IE 420

Financial Engineering

University of Illinois Urbana-Champaign 3-4 credits Industrial Engineering

Course Description

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: IE 300.

Code
IE 420
Credits
3-4
Subject
Industrial Engineering

Programs That Include This Course

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