ORIE 5630

ORIE 5630

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

Covers computational techniques such as binomial trees, solution of PDEs, and Monte Carlo simulation for pricing financial instruments such as European and American options, path-dependent options, and bonds. Other computational topics such as delta and gamma hedging, Value at Risk, and portfolio problems are also covered. The emphasis is on implementation.

When Offered Fall.

Prerequisites/Corequisites Prerequisite: financial engineering M.Eng. students in Manhattan.

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Enrollment Information
Syllabi: none
  •   Regular Academic Session. 

  • 3 Credits Graded

  • 12080ORIE 5630  LEC 030

  • Instruction Mode:
    Enrollment limited to: M Eng financial engineers in Manhattan (NYC).