ORIE 5610

Last Updated

  • Schedule of Classes - December 25, 2024 7:31PM EST
  • Course Catalog - December 25, 2024 7:07PM EST

ORIE 5610
Financial Engineering with Stochastic Calculus II

Course information provided by the Courses of Study 2024-2025.

Building upon the foundation established in ORIE 5600, this course presents advanced models for pricing and hedging financial derivatives, along with essential computational methods. The curriculum focuses on models for equities, foreign exchange, and fixed-income securities, utilizing local and stochastic volatility frameworks, the Heston model, partial differential equation (PDE) methods, change of numeraire techniques, stopping times, and the Heath-Jarrow-Morton (HJM) model.

When Offered Spring.

Prerequisites/Corequisites Prerequisite: ORIE 5600.

View Enrollment Information

Syllabi: none

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

  • 4 Credits Stdnt Opt

  •  7432 ORIE 5610   LEC 001

  •  
    • MW
    • Jan 21 - May 6, 2025

    • MINCA, A

  • Instruction Mode: In Person
    Enrollment limited to: graduate students; others by permission of department.

  •  7605 ORIE 5610   DIS 201

  •  
    • T
    • Jan 21 - May 6, 2025

    • MINCA, A

  • Instruction Mode: In Person