ORIE 5610

Last Updated

  • Schedule of Classes - June 21, 2024 12:50PM EDT
  • Course Catalog - June 6, 2024 12:59PM EDT

ORIE 5610
Financial Engineering with Stochastic Calculus II

Course information provided by the 2024-2025 Catalog. Courses of Study 2024-2025 is scheduled to publish mid-June.

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.


Prerequisites/Corequisites Prerequisite: ORIE 5600.

Last 4 Terms Offered (None)

When Offered Spring.

View Enrollment Information

Syllabi: none

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

  • 4 Credits Stdnt Opt

  •  7432 ORIE 5610   LEC 001

  •  
    • MW
    • Jan 21 - May 6, 2025

    • Patie, P

  • Instruction Mode: In Person

    Enrollment limited to: graduate students; others by permission of department.

  •  7605 ORIE 5610   DIS 201

  •  
    • T
    • Jan 21 - May 6, 2025

    • Patie, P

  • Instruction Mode: In Person