|
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 V01 INTRO TO FINANCIAL ENGINEERING | |
| Call Number | 17852 |
| Points | 3 |
| Grading Mode | Standard |
| Approvals Required | None |
| Instructor | Emanuel Derman |
| Type | LECTURE |
| 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 | Video Network |
| Enrollment | 3 students (99 max) as of 5:48PM Monday, April 19, 2021 |
| Subject | Industrial Engineering and Operations Research |
| Number | E4700 |
| Section | V01 |
| Division | School of Engineering and Applied Science: Graduate |
| Open To | Columbia Video Network |
| Campus | Video Network |
| Fee | $395 CVN Course Fee |
| Note | VIDEO NETWORK STUDENTS ONLY |
| Section key | 20211IEOR4700EV01 |
Home About This Directory Online Bulletins ColumbiaWeb SSOL | |