IEOR E4706:   Financial Engineering: Discrete-Time Asset Pricing   Fall 2004

Information

                        Instructor: Martin Haugh                                                     Teaching Assistant:  Anuj Kumar
                        Room 530 S.W. Mudd Bldg.                                              Email: ak2108@columbia.edu
                        Email:  mh2078@columbia.edu                                           Office Hours: Tuesday 9-11am
                        Office Hours:  Tuesday 11am-1pm and Friday 2-4pm

Course Announcements

                                                    Course Material

 1. Course Overview

 2. Deterministic Cash Flows
DurationConvexity.xls
 3. Forwards, Swaps and Futures
Futures.xls
 4. Martingale Pricing Theory (MPT)

 5. MPT Applied to Options, Forwards and Futures
Equity_Options.xls
 6. MPT Applied to Dynamic Portfolio Optimization and Real Options




Assignment 1
Solution 1
Solution 3
Assignment 4
Solution 4
Assignment 5
Solution 5
Assignment 6
Solution 6 and Excel file