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Spring 2022 Industrial Engineering and Operations Research E4630 section 001
ASSET ALLOCATION

Call Number 13468
Day & Time
Location
TR 2:40pm-3:55pm
402 Chandler
Points 3
Grading Mode Standard
Approvals Required None
Instructor Yanwei Jia
Type LECTURE
Method of Instruction In-Person
Course Description 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 104 students (126 max) as of 9:04AM Monday, November 28, 2022
Subject Industrial Engineering and Operations Research
Number E4630
Section 001
Division School of Engineering and Applied Science: Graduate
Open To Engineering:Undergraduate, Engineering:Graduate
Campus Morningside
Section key 20221IEOR4630E001

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SIS update 11/28/22 09:04    web update 11/28/22 09:24