ORIE 5600 - Financial Engineering with Stochastic Calculus I

Fall. 4 credits. Letter grades only.

Prerequisite: knowledge of probability at level of ORIE 3510.

Staff.

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.