Course Page

Studies in Financial Engineering

Course Number:

45925


Faculty

Duane Seppi, ds64@andrew.cmu.edu


Program

MBA


Concentrations

Finance


Course Description

This course is about using financial engineering and derivative securities to solve practical business problems. Students will work through business cases and give in-class simulated sales pitches to hypothetical clients. The cases highlight the design, valuation and hedging of structured products on stock prices, interest rates, FX, and exotic "underlyings" such as volatility, credit, and energy. Reference text: Hull, J., Option, Futures and Other Derivative Securities, 2nd edition, Prentice-Hall, 1993.


Format

Lecture: 100min/wk and Recitation: 50min/wk


Pre-requisites

45720 OR 45820 OR 45823