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Fall 2022 Industrial Engineering and Operations Research E4735 section 001
STRUCTURED&HYBRID PRODUCTS

Call Number 11753
Day & Time
Location
R 7:10pm-9:40pm
To be announced
Points 3
Grading Mode Standard
Approvals Required None
Instructor Alireza Javaheri
Type LECTURE
Method of Instruction In-Person
Course Description Prerequisite(s): 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 encountered in structured and hybrid transactions, and incorporation of 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 23 students (100 max) as of 4:11PM Wednesday, June 29, 2022
Subject Industrial Engineering and Operations Research
Number E4735
Section 001
Division School of Engineering and Applied Science: Graduate
Open To Engineering:Graduate
Campus Morningside
Section key 20223IEOR4735E001

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SIS update 06/29/22 16:11    web update 06/29/22 16:34