IEOR E4707: Financial Engineering:
Continuous-Time Models (Columbia University, Fall 2013)
I last taught this advanced-level MS course
in fall 2013 in the IE&OR Department at Columbia University. It is a core course
for the MS in Financial Engineering program at Columbia. I will not
be posting solutions to the assignments or code / software so please don’t send
me an email asking me to do so! Finally,
please note that I do not have time to
answer emails asking me to clarify or explain issues arising in these notes
and assignments. A syllabus and description of the course logistics can be
found here.
Lecture Notes
(These are the notes from the Foundations of FE
course as they are a little more up-to-date than the version I used in 2013.)
The assignments for this course were drawn from the exercises at the end
of each set of lecture notes.