Cases in Derivatives and Financial Engineering (FINC-943-A)
This course covers advanced stochastic modeling applications in finance, with emphasis on how to use financial theory to solve real problems of security design and risk management strategy. By the end of the course, students will have developed personal sets of stochastic financial modeling tools essential to careers in risk management, structuring, corporate finance and financial engineering. This capstone course is intensive, multidisciplinary, and one of the most demanding courses you are likely to take at Kellogg. Prerequisites include capital markets, basic derivatives and multivariate linear regression. The course will be taught in a mixture of formats including instructional (for learning simulation) and case methods (for applications). You will be expected to be able to answer “cold call” questions in class. Homework assignments are to be prepared before class and submitted to the TA, with the option to submit a corrected homework assignment one week after each class. Prerequisites: FINC 465 - Derivative Markets I, DECS-434-0 - Statistical Methods For Management Decisions