Courses of Study 2021-2022 
    
    Oct 01, 2022  
Courses of Study 2021-2022 [ARCHIVED CATALOG]

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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.



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