ORIE 5610

Last Updated

  • Schedule of Classes - September 22, 2025 1:06PM EDT

ORIE 5610
Financial Engineering with Stochastic Calculus II

Course information provided by the 2025-2026 Catalog.

Building upon the foundation established in ORIE 5600, this course presents advanced models for pricing and hedging financial derivatives, along with essential computational methods. The curriculum focuses on models for equities, foreign exchange, and fixed-income securities, utilizing local and stochastic volatility frameworks, the Heston model, partial differential equation (PDE) methods, change of numeraire techniques, stopping times, and the Heath-Jarrow-Morton (HJM) model.


Prerequisites ORIE 5600.

Last 4 Terms Offered 2025SP, 2024SP, 2023SP, 2022SP

View Enrollment Information

Syllabi: none

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

  • 4 Credits Stdnt Opt

  •  5244 ORIE 5610   LEC 001

  •  
    • MW
    • Jan 20 - May 5, 2026

    • MINCA, A

  • Instruction Mode: In Person

    Enrollment limited to: graduate students; others by permission of department.

  •  5379 ORIE 5610   DIS 201

  •  
    • T
    • Jan 20 - May 5, 2026

    • MINCA, A

  • Instruction Mode: In Person

  •  9846 ORIE 5610   DIS 202

  •  
    • Jan 20 - May 5, 2026

    • MINCA, A

  • Instruction Mode: Distance Learning-Asynchronous