Financial Engineering

4-0-5 units · Graduate

Exposes students to the cutting edge of financial engineering. Includes a deep immersion into "how things work," where students develop and test sophisticated computational models and solve highly complex financial problems. Students are required to complete two advanced group projects. Covers stochastic modeling, dynamic optimization, mathematical programming, stochastic calculus, and Monte Carlo simulation, presented through applications such as dynamic asset pricing and investment management, market equilibrium and portfolio choice with frictions and constraints, market microstructure models, and risk management. Assumes a solid undergraduate-level background in calculus, probability, statistics, and programming, and includes a substantial coding component. Classroom examples presented using Python and R.