FRE-GY 6103 Valuation for Financial Engineering

3 Credits

This course introduces financial engineers to robust risk-based valuation methods in discrete and continuous time. This includes four major applications: cash flows, traded derivative contracts, nontraded and embedded derivatives, and corporate assets & liabilities.
- “Cash flows” refers to risk-free and risky payments or expenditures.
- “Traded derivatives” include a high level treatment of forward contracts and the most commonly traded option contracts.
- “Nontraded and embedded derivatives” refer to contingent cash flows created in the normal processes of contracting and asset management
- “Corporate assets” refer to claims to cash flows owned and managed by corporations
- “Corporate liabilities” refers to corporate-issued securities or other payment obligations incurred by corporations.

Prerequisite(s): Graduate Standing.
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0