ORIE 5600

Last Updated

  • Schedule of Classes - April 13, 2026 10:10AM EDT

ORIE 5600
Financial Engineering with Stochastic Calculus I

Course information provided by the 2026-2027 Catalog.

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.


Prerequisites ORIE 3510/5510 or equivalent.

Last 4 Terms Offered 2025FA, 2024FA, 2023FA, 2022FA

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Syllabi: none

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

  • 4 Credits Graded

  • 10996 ORIE 5600   LEC 001

  •  
    • MW
    • Aug 24 - Dec 7, 2026

    • MINCA, A

  • Instruction Mode: In Person

    Enrollment limited to: graduate students.

  • 10997 ORIE 5600   DIS 201

  •  
    • W
    • Aug 24 - Dec 7, 2026

    • MINCA, A

  • Instruction Mode: In Person

  • 10998 ORIE 5600   DIS 202

  •  
    • R
    • Aug 24 - Dec 7, 2026

    • MINCA, A

  • Instruction Mode: In Person