This is a Masters of Engineering course, in which students will develop a fundamental understanding of how randomness and uncertainty are root causes of risk in modern enterprises. The technical material will be presented in the context of engineering team system design and operations decisions.

INDENG 222 - Financial Engineering System I

Graduate course, University of California, Berkeley - Department of Industrial Engineering and Operations Research, 2026

Introductory graduate level course, focusing on applications of operations research techniques, e.g., probability, statistics, and optimization, to financial engineering. The course starts with a quick review of 221, including no-arbitrage theory, complete market, risk-neutral pricing, and hedging in discrete model, as well as basic probability and statistical tools. It then covers Brownian motion, martingales, and Ito’s calculus, and deals with risk-neutral pricing in continuous time models. Standard topics include Girsanov transformation, martingale representation theorem, Feyman-Kac formula, and American and exotic option pricings. Simulation techniques will be discussed at the end of the semester, and MATLAB (or C or S-Plus) will be used for computation.

Isabel Agostino

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publications

Approximation of Singular-Stopping Control Driven by Hawkes Processes via Rescaled MDPs

talks

Unifying discrete and continuous time mixed optimal stopping-singular stochastic optimization for power plant investment

Approximation of Singular-Stopping Control Driven by Hawkes Processes via Rescaled MDPs

teaching

INDENG 241 - Risk Modeling, Simulation, and Data Analysis

INDENG 222 - Financial Engineering System I