ORIE 5600

Last Updated

  • Schedule of Classes - August 2, 2023 12:50PM EDT
  • Course Catalog - April 3, 2023 12:59PM EDT

ORIE 5600
Financial Engineering with Stochastic Calculus I

Course information provided by the Courses of Study 2022-2023. Courses of Study 2022-2023 is scheduled to publish mid-June.

Introduction to continuous-time models of financial engineering and the mathematical tools required to use them, starting with the Black-Scholes model. Driven by the problem of derivative security pricing and hedging in this model, the course develops a practical knowledge of stochastic calculus from an elementary standpoint, covering topics including Brownian motion, martingales, the Ito formula, the Feynman-Kac formula, and Girsanov transformations.

When Offered Fall.

Prerequisites/Corequisites Prerequisite: ORIE 3510.

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Syllabi: none

  •   Regular Academic Session.  Choose one lecture and one discussion.

  • 4 Credits GradeNoAud

  •  9189 ORIE 5600   LEC 001

  •  
    • MW
    • Aug 22 - Dec 5, 2022

    • MINCA, A

  • Instruction Mode: In Person

  •  9190 ORIE 5600   DIS 201

  •  
    • W
    • Aug 22 - Dec 5, 2022

    • MINCA, A

  • Instruction Mode: In Person

  •  9191 ORIE 5600   DIS 202

  •  
    • R
    • Aug 22 - Dec 5, 2022

    • MINCA, A

  • Instruction Mode: In Person