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Course Offerings

Course Details

Fall 2012-2013
ORF 473  

Special Topics in Operations Research and Financial Engineering - Stochastic Methods for Quantitative Finance

Ramon van Handel

This course is an introduction to stochastic calculus at the undergraduate level with applications to financial models. The emphasis is on computational and practical techniques. Topics include: Brownian motion; Ito's formula; stochastic differential equations; partial differential equations; Girsanov's theorem; simulation and finite difference numerical methods; implementation in Matlab; applications in finance.


Reading/Writing assignments:
Homework due weekly

Requirements/Grading:
Mid Term Exam - 20%
Final Exam - 40%
Problem set(s) - 40%

Other Requirements:
Not Open to Freshmen.

Prerequisites and Restrictions:
ORF 309.

Schedule/Classroom assignment:

Class numberSectionTimeDaysRoomEnrollmentStatus
22822 L01 1:30 pm - 2:50 pm M W   Robertson Hall   002   Enrolled:24 Limit:40