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Fall 2020 Industrial Engineering and Operations Research E4735 section 001
STRUCTURED&HYBRID PRODUCTS

Call Number 11591
Day & Time
Location
R 7:10pm-9:40pm
207 Mathematics Building
Points 3
Grading Mode Standard
Approvals Required None
Instructor Alireza Javaheri
Type LECTURE
Method of Instruction Hybrid
Course Description Prerequisites: (IEOR E4700) Conceptual and practical understanding of structured and hybrid products from the standpoint of relevant risk factors, design goals and characteristics, pricing, hedging and risk management. Detailed analysis of the underlying cash-flows, embedded derivative instruments and various structural features of these transactions, both from the investor and issuer perspectives, and analysis of the impact of the prevailing market conditions and parameters on their pricing and risk characteristics. Numerical methods for valuing and managing risk of structured/hybrid products and their embedded derivatives and their application to equity, interest rates, commodities and currencies, inflation and credit-related products. Conceptual and mathematical principles underlying these techniques, and practical issues that arise in their implementations in the Microsoft Excel/VBA and other programming environments. Special contractual provisions often encountered in structured and hybrid transactions, and attempt to incorporate yield curves, volatility smile, and other features of the underlying processes into pricing and implementation framework for these products.
Web Site Vergil
Department Industrial Engineering and Operations Research
Enrollment 89 students (100 max) as of 8:04AM Friday, September 25, 2020
Subject Industrial Engineering and Operations Research
Number E4735
Section 001
Division School of Engineering and Applied Science: Graduate
Campus Morningside
Section key 20203IEOR4735E001

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SIS update 09/25/20 08:04    web update 09/26/20 17:18