ORIE 5610

Last Updated

  • Schedule of Classes - July 2, 2025 11:52AM EDT
  • Course Catalog - March 17, 2025 8:31AM EDT

ORIE 5610
Financial Engineering with Stochastic Calculus II

Course information provided by the 2024-2025 Catalog. Courses of Study 2024-2025 is scheduled to publish mid-June.

Building upon the foundation established in ORIE 5600, this course presents advanced models for pricing and hedging financial derivatives, along with essential computational methods. The curriculum focuses on models for equities, foreign exchange, and fixed-income securities, utilizing local and stochastic volatility frameworks, the Heston model, partial differential equation (PDE) methods, change of numeraire techniques, stopping times, and the Heath-Jarrow-Morton (HJM) model.


Prerequisites/Corequisites Prerequisite: ORIE 5600.

Last 4 Terms Offered 2025SP, 2024SP, 2023SP, 2022SP

When Offered Spring.

View Enrollment Information

Syllabi: none

  •   Regular Academic Session.  Choose one lecture and one discussion.

  • 4 Credits Stdnt Opt

  •  7432 ORIE 5610   LEC 001

  •  
    • MW
    • Jan 21 - May 6, 2025

    • MINCA, A

  • Instruction Mode: In Person

    Enrollment limited to: graduate students; others by permission of department.

  •  7605 ORIE 5610   DIS 201

  •  
    • T
    • Jan 21 - May 6, 2025

    • MINCA, A

  • Instruction Mode: In Person

  • 21175 ORIE 5610   DIS 202

  •  
    • Jan 21 - May 6, 2025

    • MINCA, A

  • Instruction Mode: Distance Learning-Asynchronous