ORIE 5610

ORIE 5610

Course information provided by the Courses of Study 2015-2016.

Building on the foundation established in ORIE 5600, this course presents no-arbitrage theories of complete markets, including models for equities, foreign exchange, and fixed-income securities, in relation to the main problems of financial engineering: pricing and hedging of derivative securities, portfolio optimization, and risk management. Other topics include model calibration and incomplete markets.

When Offered Spring.

Prerequisites/Corequisites Prerequisite: ORIE 5600.

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Enrollment Information
Syllabi: none
  •   Regular Academic Session.  Choose one lecture and one discussion.

  • 4 Credits Stdnt Opt

  • 10774ORIE 5610  LEC 001

  • 10775ORIE 5610  DIS 201