ORIE 4600 - [Introduction to Financial Engineering]

Fall. Next offered 2017-2018. 3 credits.

Prerequisites: ORIE 3500 and ORIE 3510.

Staff.

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. This course can serve as a preparation for a course on continuous time financial models such as ORIE 5600.