ORIE 5610 - Financial Engineering with Stochastic Calculus II

Spring. 4 credits. Student option grading.

Prerequisite: ORIE 5600.

Staff.

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.