Spring 2014 EE 518 Mathematics and Tools for Financial Engineering 4 units Day and Time Location Instructor Office Office Hours Contact Info Friday 2 5 40 pm OHE 132 Prof Petros Ioannou EEB200B MW 2pm 4pm F 1 2pm email ioannou usc edu Discussion session Teaching Assistant Office Office Hours Contact Info email Tuesday 5 5 50 pm Yanbo Zhao TBD TBD yanbozha usc edu Course Description The course is specifically designed to review the fundamental mathematical principles and their application to Financial Engineering Matlab and the Financial Toolbox will be introduced as part of the course The course will help students understand the fundamental mathematics and software tools in order to be able to understand higher level courses that are relevant to Financial Engineering Learning Objectives At the end of the course the participants will understand the fundamental mathematics associated with financial engineering and how they apply them in solving some basic financial problems It will help the participants handle more advanced courses in Financial Engineering The participants will also learn the use of Matlab and Financial toolbox Prerequisite s Graduate standing Students should have completed at least three years of undergraduate University studies in the fields of Engineering or Business or Economics or Mathematics or Physics Characteristics of the course This 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 Assignments Textbook 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 Notes Software 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 sessions Course Grading Breakdown Assignment Homework Midterm Final Exam Total of Grade 20 35 45 100 Dates Assign every week March 14 2014 2 4pm Monday May 12 2014 Assignment Submission Policy Assignments are to be submitted a week after assigned No late submissions of assignments are acceptable Statement for Students with Disabilities Any 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 ability usc edu Statement 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 individual work 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 technologies