ORIE 5600

Last Updated

  • Schedule of Classes - February 12, 2019 8:29PM EST
  • Course Catalog - January 26, 2019 2:00PM EST

ORIE 5600
Financial Engineering with Stochastic Calculus I

Course information provided by the 2018-2019 Catalog.

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.


Prerequisites/Corequisites Prerequisite: knowledge of probability at level of ORIE 3510.

When Offered Fall.

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Syllabi: none

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

  • 4 Credits Graded

  • 10909 ORIE 5600   LEC 001

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  • Instruction Mode: In Person

  • 10910 ORIE 5600   DIS 201

  •  

  • Instruction Mode: In Person

  • 10911 ORIE 5600   DIS 202

  •  

  • Instruction Mode: In Person