ORIE 5600

ORIE 5600

Course information provided by the Courses of Study 2020-2021. Courses of Study 2021-2022 is scheduled to publish by July 1.

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.

View Enrollment Information

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

  • 4 Credits GradeNoAud

  •  9469ORIE 5600  LEC 001

    • MWTo Be Assigned
    • Aug 26 - Dec 7, 2021
    • Patie, P

  • Instruction Mode: Planned for In Person

  •  9470ORIE 5600  DIS 201

    • WTo Be Assigned
    • Aug 26 - Dec 7, 2021
    • Patie, P

  • Instruction Mode: Planned for In Person

  •  9471ORIE 5600  DIS 202

    • RTo Be Assigned
    • Aug 26 - Dec 7, 2021
    • Patie, P

  • Instruction Mode: Planned for In Person