ORIE 5600

ORIE 5600

Course information provided by the Courses of Study 2014-2015.

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.

When Offered Fall.

Prerequisites/Corequisites Prerequisite: knowledge of probability at level of ORIE 3500.

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Enrollment Information
Syllabi: none
  •   Regular Academic Session.  Choose one lecture and one discussion.

  • 4 Credits Graded

  • 11519ORIE 5600  LEC 001

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  • 11520ORIE 5600  DIS 201

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  • 11521ORIE 5600  DIS 202

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