ORIE 5600
Last Updated
- Schedule of Classes - November 13, 2024 7:37PM EST
- Course Catalog - November 13, 2024 7:07PM EST
Classes
ORIE 5600
Course Description
Course information provided by the Courses of Study 2024-2025.
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: ORIE 3510.
Regular Academic Session. Choose one lecture and one discussion.
-
Credits and Grading Basis
4 Credits Graded(Letter grades only)
-
Class Number & Section Details
-
Meeting Pattern
- MW Frank H T Rhodes Hall 571
- Aug 26 - Nov 20, 2024
Instructors
Samorodnitsky, G
- M Frank H T Rhodes Hall 253
- Nov 25, 2024
Instructors
Samorodnitsky, G
- MW Frank H T Rhodes Hall 571
- Dec 2 - Dec 9, 2024
Instructors
Samorodnitsky, G
-
Additional Information
Instruction Mode: In Person
-
Class Number & Section Details
-
Meeting Pattern
- W Phillips Hall 213
- Aug 26 - Dec 9, 2024
Instructors
Samorodnitsky, G
-
Additional Information
Instruction Mode: In Person
Department Consent Required (Add)
-
Class Number & Section Details
-
Meeting Pattern
- R Snee Hall Geological Sci 2146
- Aug 26 - Dec 9, 2024
Instructors
Samorodnitsky, G
-
Additional Information
Instruction Mode: In Person
Department Consent Required (Add)
Share
Or send this URL: