ORIE 5600

Last Updated

  • Schedule of Classes - March 3, 2021 7:15PM EST
  • Course Catalog - March 3, 2021 7:16PM EST

ORIE 5600
Financial Engineering with Stochastic Calculus I

Course information provided by the 2020-2021 Catalog.

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.


Prerequisites/Corequisites Prerequisite: knowledge of probability at level of ORIE 3510.

When Offered Fall.

View Enrollment Information

Syllabi: none

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

  • 4 Credits GradeNoAud

  •  9650 ORIE 5600   LEC 001

  •  
    • MW Online Meeting
    • Sep 2 - Dec 16, 2020

    • MINCA, A

  • Instruction Mode: Online

  •  9651 ORIE 5600   DIS 201

  •  
    • W Online Meeting
    • Sep 2 - Dec 16, 2020

    • MINCA, A

  • Instruction Mode: Online

  •  9652 ORIE 5600   DIS 202

  •  
    • F Online Meeting
    • Sep 2 - Dec 16, 2020

    • MINCA, A

  • Instruction Mode: Online