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NOTE: Course information changes frequently, including Methods of Instruction. Please revisit these pages periodically for the most recent and up-to-date course information. | |
Spring 2021 Industrial Engineering and Operations Research E4630 section 001 ASSET ALLOCATION | |
| Call Number | 13473 |
| Day & Time Location |
TR 2:40pm-3:55pm ONLINE ONLY |
| Points | 3 |
| Grading Mode | Standard |
| Approvals Required | None |
| Instructor | Yanwei Jia |
| Type | LECTURE |
| Method of Instruction | On-Line Only |
| Course Description | Prerequisites: (IEOR E4700) Models for pricing and hedging equity, fixed-income, credit-derivative securities, standard tools for hedging and risk management, models and theoretical foundations for pricing equity options (standard European, American equity options, Asian options), standard Black-Scholes model (with multiasset extension), asset allocation, portfolio optimization, investments over longtime horizons, and pricing of fixed-income derivatives (Ho-Lee, Black-Derman-Toy, Heath-Jarrow-Morton interest rate model). |
| Web Site | Vergil |
| Department | Industrial Engineering and Operations Research |
| Enrollment | 48 students (100 max) as of 8:02AM Sunday, February 28, 2021 |
| Subject | Industrial Engineering and Operations Research |
| Number | E4630 |
| Section | 001 |
| Division | School of Engineering and Applied Science: Graduate |
| Campus | Morningside |
| Section key | 20211IEOR4630E001 |
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