ORIE 6640

Martingale Theory and Applications in Finance

Course Description

Course information provided by the Courses of Study 2023-2024. Courses of Study 2023-2024 is scheduled to publish mid-June.

This course introduces Martingale Theory with a view towards applications to pricing and hedging of financial derivatives. We discuss both complete and incomplete markets as well as risk measure-based pricing and hedging approaches. Further topics include market models for financial derivatives and recent machine-learning developments in finance such as deep hedging.

When Offered Fall, Spring.

Prerequisites/Corequisites Prerequisite: ORIE 6500 or ORIE 6510, or equivalent.

Comments Offered every other year.

• Understand key relations between martingale theory and asset pricing.
• Identify a toolkit of martingale methods to solve valuation problems in both complete and incomplete market models for financial derivatives.
• Demonstrate how these methods are applied in various practical pricing and hedging.

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