Financial Engineering Seminar II

Graduate credit

Advanced issues in financial engineering: stochastic interest rate modeling and fixed income markets, derivatives trading and arbitrage, international finance, risk management methodologies include in Value-at-Risk and credit risk. Multivariate stochastic calculus methodology in finance: multivariate Ito's lemma, Ito's stochastic integrals, the Feynman-Kac theorem and Girsanov's theorem.