Course code: FRE 6103

Spring 2020: Finance and Risk Engineering Program at NYU Tandon Engineering School

Overview

FRE 6103 introduces financial engineers to robust risk-based valuation methods in discrete time. This includes four major applications: cash flows, traded derivative contracts, nontraded and embedded derivatives, and corporate assets and liabilities.

This is not a generalist MBA finance course. Being designed for engineers, it focuses on deep analytical methods, is computational in nature, and is driven by practical problems encountered by finance professionals. Being an introductory core course, it does not go into depth into all subject areas, but provides a suitable and broad foundation for advanced elective courses in advanced valuation, corporate finance, investment, derivatives, and trading.

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Materials

Assignments

Exams and Grading

TENTATIVE Schedule

Please note that because of another NYU Stern teaching commitment, I will not be able to teach on March 13 and April 3. To make up for the loss of 300 minutes, I will be adding 25 minutes to each class. Therefore, each class will run from 9 AM to 11:55 AM.

I will update the schedule based on my experience in the first two classes.

Date Topic
1: January 31 Annuities and perpetuities, basic and complex (Ch 2)
2: February 7  
3: February 14  
4: February 21  
5: February 28  
6: March 6  
7: March 13 NO CLASS. Teaching in NYU EMBA, DC.
8: March 20 NO CLASS. Spring Break
9: March 27  
10: April 3 NO CLASS. Teaching in NYU EMBA, DC.
11: April 10  
12: April 17  
13: April 24  
14: May 1  
15: May 8