ORIE 5600

Financial Engineering with Stochastic Calculus I

Course Description

Course information provided by the 2025-2026 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 REF-FA25/Corequisites REF-FA25 ORIE 3510. Corequisites: None.

Last 4 terms offered (None)

View Enrollment Information