Spring 2023 Industrial Engineering and Operations Research E4630 section 001

ASSET ALLOCATION

Call Number 11553
Day & Time
Location
TR 1:10pm-2:25pm
329 Pupin Laboratories
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 82 students (100 max) as of 1:06PM Thursday, March 28, 2024
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 20231IEOR4630E001