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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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SIS update 02/28/21 08:02    web update 02/28/21 09:35