Course code: FRE 6103

Spring 2021: 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 in four major applications: cash flows, traded derivative contracts, nontraded and embedded derivatives, and corporate assets and liabilities.

This course is not a generalist MBA finance course. 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. Still, it provides a suitable and broad foundation for advanced elective courses in advanced valuation, corporate finance, investment, derivatives, and trading.

Inclusion Statement

The NYU Tandon School values an inclusive and equitable environment for all our students. I hope to foster a sense of community in this class and consider it a place where individuals of all backgrounds, beliefs, ethnicities, national origins, gender identities, sexual orientations, religious and political affiliations, and abilities will be treated respectfully. I intend that all students’ learning needs be addressed both in and out of class and view diverse students as a resource, strength, and benefit. If this standard is not being upheld, please feel free to speak with me.

Help and Office

Materials

Assignments

Exams and Grading

TENTATIVE Schedule

Date Topic
1 Annuities and perpetuities: Basic and complex
2 Complex cash flow patterns: Variable rates
3 Bonds: Fixed rate, Strips, Yield curves
4 Bonds: Floating rates
5 Bonds: Defaults
6 Simulations in Finance
7 Stochastic Processes in Finance
8 NO CLASS. Spring Break
9 Risk and Capital Requirements
10 Portfolio Theory
11 Portfolio-based Simulations
12 Forwards and Futures
13 Forwards and Futures
14 Options
15 Simulating Options