- Schedule of Classes - April 13, 2023 2:00PM EDT
- Course Catalog - April 12, 2023 7:14PM EDT
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 6500 or ORIE 6510, or equivalent.
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.
Regular Academic Session.
Credits and Grading Basis
3 Credits Graded(Letter grades only)
Class Number & Section Details
- TR Phillips Hall 407
- Aug 22 - Dec 5, 2022
Instruction Mode: In Person
Disabled for this roster.