SYS 654 - Financial Engineering

Provides an introduction to basic topics in finance from an engineering and modeling perspective. Topics include the theory of interest, capital budgeting, valuation of firms, futures and forward contracts, options and other derivatives, and practical elements of investing and securities speculation. Emphasis is placed on the development and solution of mathematical models for problems in finance, such as capital budgeting, portfolio optimization, and options pricing; also predictive modeling as it is applied in credit risk management. One of the unique features of this course is a stock trading competition hosted on www.virtualstockexchange.com or a similar site. (Y)

Prerequisites & Notes
Prerequisite: SYS 603 or equivalent graduate-level optimization course. Students need not have any background in finance or investment.

Credits: 3