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

Call Number 11702
Day & Time
Location
MW 1:10pm-2:25pm
833 Seeley W. Mudd Building
Points 3
Grading Mode Standard
Approvals Required None
Instructor Emanuel Derman
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 74 students (100 max) as of 5:52PM Tuesday, December 6, 2022
Subject Industrial Engineering and Operations Research
Number E4700
Section 001
Division School of Engineering and Applied Science: Graduate
Campus Morningside
Section key 20223IEOR4700E001

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SIS update 12/06/22 17:52    web update 12/06/22 21:13