ORIE 5600

Last Updated

  • Schedule of Classes - January 11, 2024 7:32PM EST
  • Course Catalog - January 11, 2024 7:07PM EST

ORIE 5600
Financial Engineering with Stochastic Calculus I

Course information provided by the Courses of Study 2023-2024. Courses of Study 2023-2024 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.

View Enrollment Information

Syllabi: none

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

  • 4 Credits Graded

  •  7289 ORIE 5600   LEC 001

  •  

  • Instruction Mode: In Person

  •  7290 ORIE 5600   DIS 201

  •  
    • W
    • Aug 21 - Dec 4, 2023

    • MINCA, A

  • Instruction Mode: In Person

  •  7291 ORIE 5600   DIS 202

  •  

  • Instruction Mode: In Person