Courses of Study 2021-2022 
    
    Dec 05, 2022  
Courses of Study 2021-2022 [ARCHIVED CATALOG]

Cornell University Course Descriptions


 

ORIE—Operations Research & Information Engineering

  
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    ORIE 5610 - Financial Engineering with Stochastic Calculus II


         
    Spring. 4 credits. Student option grading.

    Prerequisite: ORIE 5600 .

    A. Minca.

    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.