Notes on Financial Engineering
Professor K. Sigman
Lecture Notes
- Interest rates and present value
- Internal rate of return, bonds, yield
- Portfolio mean and variance, the Markowitz problem
- One-fund and Two-fund theorems
- Binomial Lattice Model for stocks and option pricing
- Capital Asset Pricing Model
- Factor models
- Gambler's ruin problem
- Introduction to Brownian motion
- Geometric Brownian motion,
modeling stock prices in continuous time, Black-Scholes option pricing formula
- Introduction to Ito integration, Ito's rule,
derivation of Black-Scholes PDE
Professor Karl Sigman
Department of Industrial Engineering and Operations Research
Phone: (212) 854-3556
FAX: (212) 854-8103
karl.sigman@columbia.edu
http://www.columbia.edu/~ks20