INE 772Advanced Financial Engineering
Industrial & Mechanical Eng. · 3 credits
Description
This course is a 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 discrete exotic options, term structure models and pricing of bond options, jump diffusion models, and applications, including pricing of real and electricity options, and hedging of real options.
Common questions about INE 772
What is INE 772 at LAU?
INE 772 Advanced Financial Engineering is a 3-credit course at Lebanese American University (LAU), in the Industrial & Mechanical Eng. department. This course is a 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 discrete exotic options, term structure models and pricing of bond options, jump diffusion models, and applications, including pricing of real and electricity options, and hedging of real options.
How many credits is INE 772?
INE 772 Advanced Financial Engineering is worth 3 credits at LAU.