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00-Intro(f) - MS&E 345 Advanced Topics in Financial...

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1 Advanced Topics in Financial Advanced Topics in Financial Engineering Engineering Jim Primbs Stanford University Winter, 2010
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2 Course Facts Room and Time: 380-380W, MW 9:00-10:15. Office hours: 444 Terman, after class Web page: http://www.stanford.edu/~japrimbs/msande345.htm Grading: Homework 30%, Project/Paper 40%, Quizzes/Midterm 30%. Prerequisites: 242, 342, 220, 221. Strong math background. (probability, odes, pdes, measure theory, functional analysis, etc. Matlab.) Course text and lecture slides posted on the web page.
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3 What is financial engineering? Financial Engineering: Combining or carving up existing instruments to create new financial products. (Campbell R. Harvey’s Hypertextual Financial Glossary, http://www.duke.edu/~charvey/Classes/wpg/glossary.htm) Another Definition: (from Neil D. Pearson, Assoc. Prof. UIUC) Definition 1 : Financial engineering is the application of mathematical tools commonly used in physics and engineering to
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00-Intro(f) - MS&E 345 Advanced Topics in Financial...

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