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Fall 2020 Industrial Engineering and Operations Research E4731 section 001

Call Number 11588
Day & Time
MW 1:10pm-2:25pm
To be announced
Points 3
Grading Mode Standard
Approvals Required None
Instructor Agostino Capponi
Course Description Prerequisites: (IEOR E4701) and (IEOR E4707) Introduction to quantitative modeling of credit risk, with a focus on the pricing of credit derivatives. Focus on the pricing of single-name credit derivatives (credit default swaps) and collateralized debt obligations (CDOs). Details topics include default and credit risk, multiname default barrier models and multiname reduced form models.
Web Site Vergil
Department Industrial Engineering and Operations Research
Enrollment 16 students (80 max) as of 4:38PM Thursday, July 2, 2020
Subject Industrial Engineering and Operations Research
Number E4731
Section 001
Division School of Engineering and Applied Science: Graduate
Open To Engineering:Undergraduate, Engineering:Graduate
Campus Morningside
Section key 20203IEOR4731E001

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SIS update 07/02/20 16:38    web update 07/02/20 18:20