IOE 552 - Financial Engineering Seminar I
Section: 001
Term: FA 2017
Subject: Industrial and Operations Engineering (IOE)
Department: CoE Industrial and Operations Engineering
Credits:
3
Requirements & Distribution:
BS
Enforced Prerequisites:
IOE 552 or MATH 552.
Advisory Prerequisites:
MATH,IOE 453 or MATH 423. Business School students: FIN 580 or 618 or BA 855.
BS:
This course counts toward the 60 credits of math/science required for a Bachelor of Science degree.
Repeatability:
May not be repeated for credit.
Primary Instructor:

Contents: The objective of the course is to present arbitrage theory and its applications to pricing for financial derivatives. The main mathematical tool used in the course is the theory of stochastic differential equations (SDEs). We treat basic SDE techniques, including martingales, Feynman-Kac representation, and the Kolmogorov equations. We also briefly consider stochastic optimal control problems. The mathematical models are applied to the arbitrage pricing of financial instruments. We consider Black-Scholes theory and its extensions, as well as incomplete markets. We cover several interest rate theories: short rates and the Heath-Jarrow-Morton framework. Prerequisites: A solid background in basic probability theory is necessary. Also, an introductory class to finance at the level of Math 423 is required.

IOE 552 - Financial Engineering Seminar I
Schedule Listing
001 (LEC)
P
26203
Open
11
 
-
TuTh 5:00PM - 6:30PM
NOTE: Data maintained by department in Wolverine Access. If no textbooks are listed below, check with the department.


ISBN: 9780199574742
Arbitrage theory in continuous time, Author: Tomas Bjork., Publisher: Oxford University Press 3rd ed. 2009
Required
ISBN: 0387401016
Continuous-time models, Author: Steven E. Shreve., Publisher: Springer corr. 8. p 2004
Required
Syllabi are available to current LSA students. IMPORTANT: These syllabi are provided to give students a general idea about the courses, as offered by LSA departments and programs in prior academic terms. The syllabi do not necessarily reflect the assignments, sequence of course materials, and/or course expectations that the faculty and departments/programs have for these same courses in the current and/or future terms.

No Syllabi are on file for IOE 552. Click the button below to search for a different syllabus (UM login required)

Search for Syllabus
The CourseProfile (ART) system, supported by the U-M Provost’s 3rd Century Initiative through a grant to the Digital Innovation Greenhouse, provides additional information about: course enrollments; academic terms and instructors; student academic profiles (school/college, majors), and previous, concurrent, and subsequent course enrollments.

CourseProfile (ART)