Directory of Classes

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 E4700 section 001

Call Number 13443
Day & Time
MW 1:10pm-2:25pm
Points 3
Grading Mode Standard
Approvals Required None
Instructor Emanuel Derman
Method of Instruction On-Line Only
Course Description Prerequisites: (IEOR E3106) or (IEOR E4106) This course is required for undergraduate students majoring in OR:FE. Introduction to investment and financial instruments via portfolio theory and derivative securities, using basic operations research/engineering methodology. Portfolio theory, arbitrage; Markowitz model, market equilibrium, and the capital asset pricing model. General models for asset price fluctuations in discrete and continuous time. Elementary introduction to Brownian motion and geometric Brownian motion. Option theory; Black-Scholes equation and call option formula. Computational methods such as Monte Carlo simulation.
Web Site Vergil
Department Industrial Engineering and Operations Research
Enrollment 89 students (100 max) as of 2:12PM Saturday, February 27, 2021
Subject Industrial Engineering and Operations Research
Number E4700
Section 001
Division School of Engineering and Applied Science: Graduate
Campus Morningside
Section key 20211IEOR4700E001

Home      About This Directory      Online Bulletins      ColumbiaWeb      SSOL
SIS update 02/27/21 14:12    web update 02/27/21 17:20