ORIE 4600

Introduction to Financial Engineering

Course Description

Course information provided by the 2023-2024 Catalog.

This is an introduction to the most important notions and ideas in modern financial engineering, such as arbitrage, pricing, derivatives, options, interest rate models, risk measures, equivalent martingale measures, complete and incomplete markets, etc. Most of the time the course deals with discrete time models.

Prerequisites/Corequisites Prerequisite: ORIE 3500, ORIE 3510.

When Offered Spring.

Comments This course can serve as a preparation for a course on continuous time financial models such as ORIE 5600.

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