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Course Offerings

Course Evaluation Results

Course Details

Fall 2011-2012
ORF 474   Graded A-F, P/D/F, Audit

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: optimal stopping: simulations and finite difference numerical methods: applications in finance: implementation in Matlab.

Sample reading list:
T. Mikosch, Elementary Stochastic Calculus
M. Baxter and A. Rennie, Financial Calculus: An Introduction to Derivative Pricing
G. F Lawler, Introduction to Stochastic Processes
F.E Benth, Option Theory with Stochastic Analysis
A. Etheridge, A Course in Financial Calculus

Reading/Writing assignments:
Homework due weekly

Mid Term Exam - 20%
Final Exam - 40%
Problem set(s) - 40%

Other Requirements:
Not Open to Freshmen.

Prerequisites and Restrictions:
ORF 309.

Other information:
No Auditors

Schedule/Classroom assignment:

Class numberSectionTimeDaysRoomEnrollmentStatus
20474 L01 01:30:00 pm - 02:50:00 pm M W   Friend Center   205   Enrolled:13 Limit:15