ORIE 4600 - Introduction to Financial Engineering

Spring. 3 credits. Student option grading.

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

J. Callister.

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.