ORIE 5610

Last Updated

  • Schedule of Classes - May 19, 2024 7:32PM EDT
  • Course Catalog - May 19, 2024 7:07PM EDT

ORIE 5610
Financial Engineering with Stochastic Calculus II

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

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.

View Enrollment Information

Syllabi:

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

  • 4 Credits Stdnt Opt

  •  9509 ORIE 5610   LEC 001

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

  •  9733 ORIE 5610   DIS 201

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  • Instruction Mode: In Person