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Apr 25, 2024
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Courses of Study 2021-2022 [ARCHIVED CATALOG]
Cornell University Course Descriptions
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ORIE—Operations Research & Information Engineering |
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ORIE 5600 - Financial Engineering with Stochastic Calculus I Fall. 4 credits. Letter grades only.
Prerequisite: ORIE 3510 .
P. Patie.
Introduction to continuous-time models of financial engineering and the mathematical tools required to use them, starting with the Black-Scholes model. Driven by the problem of derivative security pricing and hedging in this model, the course develops a practical knowledge of stochastic calculus from an elementary standpoint, covering topics including Brownian motion, martingales, the Ito formula, the Feynman-Kac formula, and Girsanov transformations.
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