Financial Engineering cover in B.Tech. program at IIT Bombay . This course covers basic concepts of financial Engineering .

Financial Engineering course intro:

Portfolio optimization:
Markowitz model;
Two and one fund theorems;
Mutual funds.
Capital Asset Pricing model;
Security market line.

Arbitrage;
Hedging; Pricing.
Contingent claims;
Forward and futures contracts.
European and American options;
Asian and other path dependent options.
One and multi-period binomial models;
Finite state models.
Equivalent martingale measures;
Completeness of markets;
Fundamental asset pricing theorems;
Option pricing.
Black-Scholes option pricing formula.

Reference books for course:

M Capinski and T. Zastawniak (2003), Mathematics for Finance: An Introduction to Financial Engineeting and Springer-Verlar, London.

D. G. Luenberger (1998), Investment Science, Oxford University Press, New York

J. C. Hull (2000), Options, Futures and other Derivatives, Fourth edition, Prentice Hall Inc., Upper Saddle River

D Lamberton and B Lapeyre (1996), Introduction to stochastic calculus applied to finance, Chapman and Hall, London.

Address:
Indian Institute of Technology Bombay
Powai
Mumbai, Maharashtra 400076