Two financial-engineering courses taught most recently at the University of Illinois during the academic year of 2013-2014, for the Master of Science in Financial Engineering (MSFE), a joint program of the Colleges of Business and Engineering.
Spring, 2014 and Fall, 2013: Both honored in the “Lists of Teachers Ranked as Excellent” by the University.
Spring Semester, 2014 (Completed) -- IE 525:
Numerical methods for the modeling, pricing, and risk management of various financial instruments and services, including in particular derivatives: (STOCHASTIC) randomization and anti-gaming, Monte Carlo simulation, variance reduction techniques, quasi Monte Carlo methods; (DETERMINISTIC) finite difference methods for ordinary and partial differential equations, explicit and implicit schemes, boundary conditions, and free boundary problems for American options; (DATA ANALYTICAL) data-driven model calibration and optimization, financial data pattern analysis and synthesis, filtering and machine learning, analytics in high-frequency data environment.
Fall Semester, 2013 (Completed) -- IE 524: