• Professor: Mahmoud A. El-Gamal

• Required Textbook: Salih N. Neftci, Principles of Financial Engineering, Elsevier, 2004.

• Programming software: R, download latest version at http://cran.r-project.org/

  (students may use other software/programming languages if they wish)

  Reference guides for R and Rmetrics are posted in Resources

• Class: TR 1:00-2:15, BB 271

• Office Hours: TR 9:30-10:30, 2:30-3:30, or by appointment

• TA: Ibrahim Ergen

• Grading:
  • Weekly and biweekly assignments: 40%
  • Midterm: 30%
  • Final: 30%

• Check class Schedule regularly.
  • Lecture notes & R codes will be posted as attachments to Schedule entries.
  • Assignments and exam times will be listed on calendar.

Tentative schedule of weekly textbook readings and lecture note handouts:

• Week 1 (1/8, 1/10): Chapters 1-3 + Primer on Arbitrage, Duration, and Convexity (+ intro to Rmetrics)
• Week 2 (1/15, 1/17): Chapters 4-5 + Primer on Financial Derivatives and Pricing Methods
• Week 3 (1/22, 1/24): Chapters 6-7 + Primer on PDEs and Numerical Methods
• Week 4 (1/29, 1/31): Chapter 8 + Primer on Stochastic Calculus I (binary tree model)
• Week 5 (2/5, 2/7): Chapter 8 + Primer on Stochastic Calculus II (continuous time model)
• Week 6 (2/12, 2/14): Chapter 11 + Primer on Stochastic Calculus III (Ito Calculus, Black-Scholes-Merton PDE)
• Week 7 (2/19, 2/21): Review + Midterm Exam
• Week 8 (2/26, 2/28): Chapter 10 + Primer on Simulation & Monte Carlo Methods
• Week 9 (3/4, 3/6 Midterm Recess)
• Week 10 (3/11, 3/13): Primer on Stochastic Calculus IV (Girsanov's Theorem, martingale pricing) + Chapter 8
• Week 11 (3/18, 3/20): Chapter 9 + Chapter 10
• Week 12 (3/25, 3/27): Chapters 11-12 + Primer on Term Structure Models
• Week 13 (4/1, 4/3 Spring Recess): Chapter 13 + Term Structure Models
• Week 14 (4/8, 4/10): Chapters 14-15 + Primer on Stochastic Volatility Models
• Week 15 (4/15, 4/17):Chapter 16 + Midterm
• Week 16 (4/22): Chapter 17