INE 524Advanced Financial Engineering
Industrial & Mechanical Eng. · 3 credits
Description
Review of basic mathematics, including renewal theory and stochastic calculus. Martingale approach to Black-Scholes formula. Optimal stopping and American options. Pricing of continuous and discerete exotic options. Term structure models and pricing of bond options. Jump diffusion models. Applications, including pricing of real and electricity options and hedging of real options.
Common questions about INE 524
What is INE 524 at LAU?
INE 524 Advanced Financial Engineering is a 3-credit course at Lebanese American University (LAU), in the Industrial & Mechanical Eng. department. Review of basic mathematics, including renewal theory and stochastic calculus. Martingale approach to Black-Scholes formula. Optimal stopping and American options. Pricing of continuous and discerete exotic options. Term structure models and pricing of bond options.
How many credits is INE 524?
INE 524 Advanced Financial Engineering is worth 3 credits at LAU.