|MRM 8610||Financial Engineering|
|Prerequisites||MBA 8135 and FI 8000 concurrenctly|
This course introduces students to continuous-time financial models essential for the practice of mathematical risk management. It begins with a discussion of the funda- mental mathematical tools from continuous-time stochastic processes including Ito’s formula, change of measure, and martingales. This provides a framework for financial con- cepts including hedging, complete markets, and incomplete markets. The mathematical tools and financial concepts are applied to the risk management and valuation of finan- cial derivatives based on stocks and bonds, separately, and insurance company liabilities with embedded financial options. The course concludes with a consideration of models that jointly value stocks, bonds and non-traded assets.