- Schedule of Classes - June 10, 2022 7:44AM EDT
- Course Catalog - June 9, 2022 7:14PM EDT
Course information provided by the Courses of Study 2021-2022.
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.
Regular Academic Session.
Credits and Grading Basis
4 Credits Stdnt Opt(Letter or S/U grades)
Class Number & Section Details
- MW Phillips Hall 307
- Jan 24 - May 10, 2022
Instruction Mode: In Person
Enrollment restricted to graduate students. Early Admit MEng students and OR&E Honors Program students may enroll with department approval.
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