ORIE 5600

Last Updated

  • Schedule of Classes - January 14, 2015 6:16PM EST
  • Course Catalog - January 14, 2015 6:21PM EST

ORIE 5600
Financial Engineering with Stochastic Calculus I

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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Syllabi: none

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

  • 4 Credits Graded

  • 11519 ORIE 5600   LEC 001

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    • MWF Olin Hall 165

    • Samorodnitsky, G

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  • 11520 ORIE 5600   DIS 201

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  • 11521 ORIE 5600   DIS 202

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