ORIE 5600

Financial Engineering with Stochastic Calculus I

Course Description

Course information provided by the 2015-2016 Catalog.

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.

Prerequisites/Corequisites Prerequisite: knowledge of probability at level of ORIE 3500.

When Offered Fall.

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