Course DescriptionCharacteristics of the courseThis lecture-based course will be offered on Viterbi’s Distant Learning System (DEN) to be accessible to remote students in addition to on-campus students. Blackboard will be used to post Lecture Notes and AssignmentsTextbookSoftware Tools: Use of Matlab/Simulink with Financial Engineering Toolbox.Spring 2014: EE 518: Mathematics and Tools for Financial Engineering (4 units)Day and Time: Friday 2-5:40 pmLocation: OHE 132Instructor: Prof. Petros IoannouOffice: EEB200BOffice Hours: MW: 2pm-4pm F: 1-2pmContact Info: email: [email protected];Discussion session : Tuesday 5-5:50 pmTeaching Assistant: Yanbo ZhaoOffice: TBDOffice Hours: TBDContact Info: email: [email protected] DescriptionThe course is specifically designed to review the fundamental mathematical principles and theirapplication to Financial Engineering. Matlab and the Financial Toolbox will be introduced as partof the course. The course will help students understand the fundamental mathematics and softwaretools in order to be able to understand higher level courses that are relevant to FinancialEngineering. Learning ObjectivesAt the end of the course the participants will understand the fundamental mathematics associatedwith financial engineering and how they apply them in solving some basic financial problems. Itwill help the participants handle more advanced courses in Financial Engineering. The participantswill also learn the use of Matlab and Financial toolbox.Prerequisite(s)Graduate standing. Students should have completed at least three years of undergraduate Universitystudies in the fields of Engineering or Business or Economics or Mathematics or Physics.Characteristics of the courseThis lecture-based course will be offered on Viterbi’s Distant Learning System (DEN) to be accessible to remote students in addition to on-campus students. Blackboard will be used to post Lecture Notes and AssignmentsTextbook A Primer for the Mathematics of Financial Engineering by Dan Stefanica, 2nd Edition, FE Press,New York, 2011, ISBN-13 978-0-9797576-2-4 Additional Reading: Lecture NotesSoftware Tools: Use of Matlab/Simulink with Financial Engineering Toolbox. Course Topics: Review of basic mathematical tools: Set Theory; Sequences and Series; Continuous Functions; Differentiation; Integration; Linear Algebra; Differential Equations; Numerical Techniques. Financial Engineering topics: Put Call Parity; Interest Rates; Black Scholes Formula; Greeks and Hedging; Risk neutral valuation; Portfolio Optimization.Use of Matlab to be taught at discussion sessionsCourse Grading BreakdownAssignment % of Grade DatesHomework 20% Assign every weekMidterm 35% March 14, 2014Final Exam 45% 2-4pm Monday, May 12, 2014 Total 100%Assignment Submission PolicyAssignments are to be submitted a week after assigned. No late submissions of assignments are acceptable.Statement for Students with DisabilitiesAny student requesting academic accommodations based on a disability is required to register with Disability Services and Programs (DSP) each semester. A letter of verification for approved accommodations can be obtained from DSP. Please be sure the letter is delivered to me (or to TA) as early in the semester as possible. DSP is located in STU 301 and is open 8:30 a.m.–5:00 p.m., Monday through Friday. Website and contact information for DSP: http://sait.usc.edu/academicsupport/centerprograms/dsp/home_index.html, (213) 740-0776 (Phone), (213) 740-6948 (TDD only), (213) 740-8216 (FAX) [email protected] on Academic Integrity USC seeks to maintain an optimal learning environment. General principles of academic honesty include the concept of respect for the intellectual property of others, the expectation that individualwork will be submitted unless otherwise allowed by an instructor, and the obligations both to protect one’s own academic work from misuse by others as well as to avoid using another’s work as one’s own. All students are expected to understand and abide by these principles. SCampus, the Student Guidebook, (www.usc.edu/scampus or http://scampus.usc.edu) contains the University Student Conduct Code (see University Governance, Section 11.00), while the recommended sanctions are located in Appendix A. Emergency Preparedness/Course Continuity in a Crisis In case of a declared emergency if travel to campus is not feasible, USC executive leadership will announce an electronic way for instructors to teach students in their residence halls or homes using a combination of Blackboard, teleconferencing, and other