ORIE 5600

ORIE 5600

Course information provided by the Courses of Study 2019-2020.

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 3510.

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

  • 4 Credits Graded

  • 10740 ORIE 5600   LEC 001

  • 10741 ORIE 5600   DIS 201

  • 10742 ORIE 5600   DIS 202