ORIE 6640

ORIE 6640

Course information provided by the Courses of Study 2022-2023.

This course introduces Martingale Theory with a view towards applications to pricing and hedging of financial derivatives. We discuss both complete and incomplete markets as well as risk measure-based pricing and hedging approaches. Further topics include market models for financial derivatives and recent machine-learning developments in finance such as deep hedging.

When Offered Fall, Spring.

Prerequisites/Corequisites Prerequisite: ORIE 3500 or equivalent probability course.

Comments Offered every other year.

Outcomes
  • Understand key relations between martingale theory and asset pricing.
  • Identify a toolkit of martingale methods to solve valuation problems in both complete and incomplete market models for financial derivatives.
  • Demonstrate how these methods are applied in various practical pricing and hedging.

View Enrollment Information

Syllabi: none
  •   Regular Academic Session. 

  • 3 Credits Graded

  • 18204 ORIE 6640   LEC 001

  • Instruction Mode: In Person