IEOR E4707: Financial Engineering: Continuous-Time Models

I last taught this advanced-level MS course in fall 2013 in the IE&OR Department at Columbia University. It is a core course for the MS in Financial Engineering program at Columbia. I will not be posting solutions to the assignments or code / software so please don’t send me an email asking me to do so! A syllabus and description of the course logistics can be found here.

Lecture Notes

1. Martingale Pricing in Discrete-Time and Discrete-Space
   (These are the notes from the Foundations of FE course as they are a little more up-to-date than the version I used in 2013.)
2. An Introduction to Stochastic Calculus for Diffusions
3. Black-Scholes and the Volatility Surface
4. Foreign Exchange, ADR’s and Quanto Securities
5. Local Volatility, Stochastic Volatility and Jump-Diffusion Models

The assignments for this course were drawn from the exercises at the end of each set of lecture notes.