ORIE 5610

ORIE 5610

Course information provided by the Courses of Study 2022-2023.

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

  • 4 Credits Stdnt Opt

  •  9939 ORIE 5610   LEC 001

  • Instruction Mode: In Person
    Enrollment restricted to graduate students. Early Admit MEng students and OR&E Honors Program students may enroll with department approval.

  • 17748 ORIE 5610   DIS 201

  • Instruction Mode: In Person