ORIE 5610

Last Updated

  • Schedule of Classes - October 16, 2017 11:09AM EDT
  • Course Catalog - June 14, 2017 7:15PM EDT

ORIE 5610
Financial Engineering with Stochastic Calculus II

Course information provided by the Courses of Study 2016-2017.

Building on the foundation established in ORIE 5600, this course presents no-arbitrage theories of complete markets, including models for equities, foreign exchange, and fixed-income securities, in relation to the main problems of financial engineering: pricing and hedging of derivative securities, portfolio optimization, and risk management. Other topics include model calibration and incomplete markets.

When Offered Spring.

Prerequisites/Corequisites Prerequisite: ORIE 5600.

View Enrollment Information

Syllabi: none

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

  • 4 Credits Stdnt Opt

  • 11073 ORIE 5610   LEC 001

  •  

  • 11074 ORIE 5610   DIS 201

  •