Financial Engineering with Stochastic Calculus II

4.0 credits · Graduate

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.