Course: - Columbia University
Course: Pricing Models for Financial Engineering, IEOR 4630
Time: Thursdays 6:40 – 9:10
Place: SCE 415
MIDTERM: Thursday, Oct. 25th
Supplementary References:
An Introduction to the Mathematics of Financial Derivatives, Salih N. Neftci, ACADEMIC PRESS
Interest Rate Models, An Introduction, Andrew J. G. Cairns, PRINCETON
Equity Derivatives Theory and Applications, Marcus Overhaus, Andrew Ferraris, et al., WILEY
The Volatility Surface, A Practitioner’s Guide, Jim Gatheral, WILEY
Pricing Convertible Bonds, Kevin B. Connolly, WILEY
Grading:
Homework 40%
Midterm 20%
Final 40%
TA: Soonmin Ko
Office Hours:
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