ORIE 5600

Last Updated

  • Schedule of Classes - June 11, 2025 2:48PM EDT

ORIE 5600
Financial Engineering with Stochastic Calculus I

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.


Last 3 terms offered 2024FA, 2023FA, 2022FA

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Syllabi: none

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

  • 4 Credits Graded

  •  4514 ORIE 5600   LEC 001

  •  
    • MW
    • Aug 25 - Dec 8, 2025

    • Samorodnitsky, G

  • Instruction Mode: In Person

    Priority given to: Operations Research and Information Engineering (ORIE) Master of Engineering (MEng) students. If you cannot enroll, please fill out the survey here to join the waitlist: https://forms.gle/1bWBFGUW68GTQSzc7. Students from the waitlist will be notified during the add/drop period if there is space.

  •  4515 ORIE 5600   DIS 201

  •  
    • W
    • Aug 25 - Dec 8, 2025

    • Samorodnitsky, G

  • Instruction Mode: In Person

  •  4516 ORIE 5600   DIS 202

  •  
    • R
    • Aug 25 - Dec 8, 2025

    • Samorodnitsky, G

  • Instruction Mode: In Person