ORIE 4600

Introduction to Financial Engineering

Course Description

Course information provided by the Courses of Study 2023-2024.

This is an introduction to the most important notions and ideas in modern financial engineering, such as arbitrage, pricing, derivatives, options, interest rate models, risk measures, equivalent martingale measures, complete and incomplete markets, etc. Most of the time the course deals with discrete time models.

When Offered Spring.

Prerequisites/Corequisites Prerequisite: ORIE 3500, ORIE 3510.

Comments This course can serve as a preparation for a course on continuous time financial models such as ORIE 5600.

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