Valuation for Financial Engineering

(3 Credits)

This course introduces financial engineers to robust risk-based valuation methods in discrete and continuous time. This includes four major applications: cash flows, traded derivative contracts, nontraded and embedded derivatives, and corporate assets & liabilities. - “Cash flows” refers to risk-free and risky payments or expenditures. - “Traded derivatives” include a high level treatment of forward contracts and the most commonly traded option contracts. - “Nontraded and embedded derivatives” refer to contingent cash flows created in the normal processes of contracting and asset management - “Corporate assets” refer to claims to cash flows owned and managed by corporations - “Corporate liabilities” refers to corporate-issued securities or other payment obligations incurred by corporations. | Prerequisite: Matriculation into a master or doctoral program