IEOR E4706: Foundations of Financial Engineering (Columbia University, Fall 2016)
      

I last taught this MS course in fall 2016 in the IE&OR Department at Columbia University. It is a core course for the MS in Financial Engineering program at Columbia and is intended to introduce the main topics in quantitative finance to the students in the program. The emphasis is on modeling, markets and financial problems and products. Hence stochastic calculus only plays a modest role in the course. 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. Some Pre-Requisite Material
  2. Forwards, Swaps, Futures and Options
  3. Martingale Pricing  (Some of this material is tedious but it is the most important part of the course if you want to understand derivatives pricing in depth!)
  4. Term Structure Models
  5. Mean-Variance Analysis and the CAPM
  6. Stochastic Calculus
  7. Black-Scholes
  8. Credit Modeling
  9. Real Options
  10. Other Topics (The course never made it this far)

 

Assignments

  1. Assignment 1
  2. Assignment 2
  3. Assignment 3
  4. Assignment 4
  5. Assignment 5
  6. Assignment 6
  7. Assignment 7
  8. Assignment 8
  9. Assignment 9
  10. Assignment 10 (The course never made it this far)