345SyllSched2010

345SyllSched2010 - MS&E 345 Advanced Topics in...

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MS&E 345 Advanced Topics in Financial Engineering Winter, 2010 Professor: Jim Primbs: OH MW 10:15-11:30am, 444 Terman Class Location and Time: 380- 380W, MW 9:00-10:15am Course Assistant: Gerald Teng Class Description: This course covers the fundamental principles in derivative pricing and hedging, and demonstrates the application of those principles in different financial settings. Web page: http://www.stanford.edu/~japrimbs/msande345.htm Prerequisites: MS&E 242, 342, 220, 221. This course assumes a solid math background. General knowledge of probability, stochastic processes, measure theory, ordinary and partial differential equations, and some functional analysis is desirable. Knowledge of Matlab or willingness to learn. Homework: Homework will be assigned approximately every week to two weeks. Project: Students will perform a project implementing a concept from financial engineering on a problem of their choice. Can be done in groups. Quizzes/Midterm:
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345SyllSched2010 - MS&E 345 Advanced Topics in...

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