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SEEM5340 Stochastic Calculus

Introduction to continuous time stochastic processes. Brownian motions: explicit constructions, properties, quadratic variation, the Cameron-Martin-Girsanov formula, multidimensional Brownian motions. Stochastic Integration: definition, Ito’s formula, m...

SEEM5360 Term Structure Modeling of Interest Rates

The course is a systematic introduction to the development, analysis and implementation of interest rate models for pricing and hedging of fixed income derivatives. The materials will span the following aspects: linear interest rate product and yield...

SEEM5370 Topics in Behavioral Finance and Economics

Behavioral finance/economics is a relatively new field, which assumes economic agents to be irrational, in contrast to the rational assumption in neoclassical finance/economics. In this course, I introduce the history of behavioral finance and economics,...

SEEM5410 Optimal Control

Dynamic continuous-time systems. Examples, modelling, and classification of optimal control problems. Pontryagin's maximum principle: adjoint equation, Hamiltonian system, and sufficient condition of optimality. Bellman's dynamic programming: principle...

SEEM5570 Numerical Methods in Finance

This course emphasizes the use of numerical methods for solving financial problems. The numerical methods include: binomial trees, Monte Carlo simulation, stochastic programming, linear/quadratic control models and semidefinite programming techniques....

SEEM5620 Data Warehousing for Financial Engineering

This course addresses the data and decision aspects of financial information systems. The data aspect includes collection, cleansing, storage, and retrieval of quantitative and qualitative financial data. The decision aspect include on-line analytical...

SEEM5670 Advanced Models in Financial Engineering

This course covers various applications of engineering technicalities in financial modelling. Emphasis will be on two main topics: investment portfolio optimization and financial derivative pricing. We introduce dynamic programming approach, martingale...
Department of Systems Engineering and Engineering Management, CUHK