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CourseInfo - ORIE 569 Financial Engineering with Stochastic...

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ORIE 569 Financial Engineering with Stochastic Calculus II Spring 2008 Timings and location • Lecture: MW 8:40-9:55 HO 110 • Recitations: T 2:55-4:25 OH 245, F 2:55-4:25 PH 213 Instructor: Professor Alexander Schied, 232 Rhodes, 254 5243, email: as878 Teaching assistant: Serkan Kirac (ysk7) Office hours TBA Book S. Shreve: Stochastic Calculus for Finance II, Continuous Time Models . (same book as for 568) Other books are on reserve in the Engineering Library Course Website: Many course materials (including handouts, homework assignments/solutions, announcements, exam solutions, etc) will be posted at our course website: http://www.blackboard.cornell.edu/webapps/portal/frameset.jsp?tab=courses&url=/bin/co mmon/course.pl?course_id=_22846_1 Or go to blackboard.cornell.edu and follow links. You must register. Approximate syllabus : Chapters 6-11 in textbook; parts may be substituted with additional material Risk-neutral pricing and partial differential equations. Valuation of exotic options (barriers, lookbacks, Asians).
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