2011-2012 Bulletin – PDF - SEAS Bulletin - Columbia University

156
M.S. in Industrial Engineering
The department’s graduate program
in industrial engineering are generally
intended to enable students with
industrial engineering bachelor’s degrees
to enhance their undergraduate training
with studies in special fields such as
production planning, inventory control,
scheduling, and industrial economics.
However, the department also offers
broader master’s and professional
degree programs for engineers whose
undergraduate training is not in industrial
engineering.
M.S. degree candidates are required
to satisfy a core program of graduate
courses in production management,
probability theory, statistics, simulation,
and operations research. Students with
B.S. degrees in industrial engineering will
usually have satisfied this core in their
undergraduate programs. All students
must take at least 18 points of graduate
work in industrial engineering and at
least 30 points of graduate studies at
Columbia. Master’s degree programs
may include concentrations in:
engineering and management systems
production and operations management
manufacturing
industrial regulation studies
Additional details regarding
these concentrations are available
in the department office. A thesis
is not required. Students who plan
post–master’s degree studies
should give due consideration to the
course, examination, and admission
requirements of these programs.
The department requires that
students in the program achieve
grades of B– or higher in each of the
fundamental core courses (IEOR E4004
and IEOR E4106). Poor performance
in these courses is indicative of
inadequate preparation and is very
likely to lead to serious problems in
completing the program. In addition,
students must maintain a cumulative
GPA equivalent to a B– during every
term enrolled. A student failing to meet
these criteria may be asked to withdraw
from his/her program.
The professional degree of Industrial
Engineer requires a minimum of 60
points of graduate credit with at least
30 points beyond the M.S. degree in
industrial engineering. The complete
M.S. in Financial Engineering—May 2012 Completion (36 points) 1
Summer Semester
Fall Semester
Spring Semester
(9 points) 2 (12 points) 2 (15 points) 2
Required core courses:
IEOR E4701 Stochastic models
for financial engineering
IEOR E4702 Statistical inference
for financial engineering (1.5)
IEOR E4706 Foundations of
financial engineering
IEOR E4729 Financial markets,
institutions, and risk (1.5)
Required core courses:
IEOR E4007 Optimization for
financial engineering
IEOR E4707 Continuous time
finance
IEOR E4709 Data analysis for
financial engineering
Elective
60-point program includes (a) 30 points
completed in ten core courses, (b) a
concentration of at least four courses,
(c) other electives and (possibly) deficiencies.
A minimum of twelve courses,
providing 36 points of credit, must be
industrial engineering courses taken
from departmental course offerings or at
other institutions where advanced standing
is given. A thesis is not required.
M.S. in Operations Research
The graduate program in this area is
designed to enable students to concentrate
their studies in methodological areas
such as mathematical programming, stochastic
models, and simulation. However,
the department also has a broadly based
master’s degree program that enables
Required core course:
IEOR E4703 Monte Carlo
simulation
Choose four from the courses
below, plus one other course in
consultation with faculty adviser 3 :
IEOR E4500 Applications programming
for financial engineering
IEOR E4602 Quantitative risk
management
IEOR E4630 Asset allocation
IEOR E4708 Seminar on
important papers in financial
engineering
IEOR E4710 Term structure
modeling
IEOR E4718 Intro to implied
volatility smile
IEOR E4731 Credit risk and
credit derivatives
DRAN B8835 Security pricing
models
1 Students may conclude the program in May, August, or December 2011. Please visit the departmental
website (www.ieor.columbia.edu/pages/graduate/ms_financial_eng/index.html) for more information.
2 All courses listed are for 3 points, unless stated otherwise.
3 Other courses include experimental finance, foreign exchange and related derivative instruments, hedge
fund management, structured products, etc. Specific offerings may vary each term.
students with engineering or other
undergraduate majors that include strong
mathematics preparation to complete
work in two terms of full-time study.
M.S. degree candidates are required
to satisfy a core set of graduate courses
in probability, statistics, linear programming,
and simulation. All students must
complete at least 18 points of operations
research courses and at least 30
points of graduate work at Columbia.
The department considers it desirable
that students construct balanced
programs involving deterministic and
stochastic models, as well as substantive
areas for application.
The M.S. degree program may be
constructed to include the following
areas of focus:
engineering 2011–2012