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NOTE: Course information changes frequently, including Methods of Instruction. Please revisit these pages periodically for the most recent and up-to-date course information. | |
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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