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

  1. Martingale Pricing in Discrete-Time and Discrete-Space

(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.)

  1. An Introduction to Stochastic Calculus for Diffusions
  2. Black-Scholes and the Volatility Surface
  3. Foreign Exchange, ADR’s and Quanto Securities
  4. Local Volatility, Stochastic Volatility and Jump-Diffusion Models

 

The assignments for this course were drawn from the exercises at the end of each set of lecture notes.