ORIE 5630

Last Updated

  • Schedule of Classes - January 14, 2015 6:16PM EST
  • Course Catalog - January 14, 2015 6:21PM EST

ORIE 5630
Computational Methods in Finance

Course information provided by the 2014-2015 Catalog.

Covers computational techniques such as binomial trees, solution of PDEs, and Monte Carlo simulation for pricing financial instruments such as European and American options, path-dependent options, and bonds. Other computational topics such as delta and gamma hedging, Value at Risk, and portfolio problems are also covered. The emphasis is on implementation.


Prerequisites/Corequisites Prerequisite: financial engineering M.Eng. students in Manhattan.

When Offered Fall.

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Syllabi: none

  •   Regular Academic Session. 

  • 3 Credits Graded

  • 12080 ORIE 5630   LEC 030

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  • Instruction Mode:

    Enrollment limited to: M Eng financial engineers in Manhattan (NYC).