ENMG 624 Financial Engineering I – Summer 2024
Instructor: Bacel Maddah
Syllabus
Class Notes
Review on the Theory of Interest
Topic 2
Mean-Variance Portfolio Theory (1) (Chapter 6, text)
Mean-Variance Portfolio Theory (2) (Chapter 6, text)
Two-Asset Portfolio Diagram | Two-Fund Theorem Application (Ex 6.10)
Topic 3
The Capital Asset Pricing Model (Chapter 7, text)
Other Pricing Models (Chapter 8, text)
Data and Statistics (Chapter 9, text)
CAPM In-Class Examples | Example 9.1: Simulating stock data | Example 9.6: Estimating mean stock return
Topic 4
General Principles (Portfolio structuring via maximizing utility) (Chapter 11, text)
Forwards, Futures, and Swaps (Chapter 12, text)
Models of Asset Dynamics (Chapter 13, text)
Examples on log-optimal portfolios and log-optimal pricing
Excel Simulation: Geometric Brownian Motion
Topic 5
Basic Option Theory (Chapter 14, text, 1)
Basic Option Theory (Chapter 14, text, 2)
Excel models for pricing a European call, an American put, and a real option
Homework Assignments
HW 1 Probability refresh. Due Thursday, Jun 20.
HW 2 6.3, 6.5, 6.6, 6.7, 6.11 (Text). Due Thu, Jul 4.
Links
Bloomberg | Yahoo Finance | WSJ | Morningstar