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Spring 2022 Industrial Engineering and Operations Research E4700 section 001
INTRO TO FINANCIAL ENGINEERING
INTRO TO FINANCIAL ENGINE

Call Number 13469
Day & Time
Location
MW 11:40am-12:55pm
402 Chandler
Points 3
Grading Mode Standard
Approvals Required None
Instructor Xunyu Zhou
Type LECTURE
Method of Instruction In-Person
Course Description Prerequisite(s): IEOR E4106 or E3106. 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 75 students (90 max) as of 8:03AM Saturday, June 25, 2022
Subject Industrial Engineering and Operations Research
Number E4700
Section 001
Division School of Engineering and Applied Science: Graduate
Campus Morningside
Section key 20221IEOR4700E001

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SIS update 06/25/22 08:03    web update 06/25/22 17:34