Courses of Study 2018-2019 
    
    Mar 28, 2024  
Courses of Study 2018-2019 [ARCHIVED CATALOG]

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ORIE 4600 - Introduction to Financial Engineering


     
Spring. 3 credits. Student option grading.

Prerequisite: ORIE 3500  and ORIE 3510 . This course can serve as a preparation for a course on continuous time financial models such as ORIE 5600 .

Staff.

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.



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