IEOR E4706:   Financial Engineering: Discrete-Time Models

Lecture notes for this course can be found by clicking on the links below. If a link is missing then it probably means that I am planning to revise the corresponding notes and will post them when I am done. (I have not taught this course since 2005 so some of the notes may need updating.) I will not be posting assignments or solutions to the assignments so please do not 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.

1.      Course Overview

2.      Deterministic Cash-Flows

3.      Forwards, Swaps and Futures

4.      Martingale Pricing

5.      Dynamic Portfolio Optimization and Real Options

6.      Term Structure Lattice Models