ORIE 5600

Last Updated

  • Schedule of Classes - May 20, 2024 7:35PM EDT
  • Course Catalog - May 20, 2024 7:07PM EDT

ORIE 5600
Financial Engineering with Stochastic Calculus I

Course information provided by the Courses of Study 2023-2024. Courses of Study 2024-2025 is scheduled to publish mid-June.

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.

View Enrollment Information

Syllabi: none

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

  • 4 Credits Graded

  •  6654 ORIE 5600   LEC 001

  •  
    • MW To Be Assigned
    • Aug 26 - Dec 9, 2024

    • Samorodnitsky, G

  • Instruction Mode: In Person

  •  6655 ORIE 5600   DIS 201

  •  
    • W To Be Assigned
    • Aug 26 - Dec 9, 2024

    • Samorodnitsky, G

  • Instruction Mode: In Person

  •  6656 ORIE 5600   DIS 202

  •  
    • R To Be Assigned
    • Aug 26 - Dec 9, 2024

    • Samorodnitsky, G

  • Instruction Mode: In Person