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

164
OPERATIONS RESEARCH: FINANCIAL engineering:
first and second Years
Semester i Semester iI Semester iII Semester iV
mathematics MATH V1101 (3) MATH V1102 (3) MATH V1201 (3)
Linear algebra (3) 1
and ODE (3)
physics
(three tracks,
choose one)
C1401 (3)
C1601 (3.5)
C2801 (4.5)
C1402 (3)
C1602 (3.5)
C2802 (4.5)
Physics or chemistry lab:
PHYS C1493 (3) or
PHYS W3081 (2) or
CHEM C1500 (3) or
CHEM C2507 (3) or
CHEM C3085 (4) or
chemistry
(choose one course)
C1403 (3.5) or C1404 (3.5) or
C1604 (3.5) or C3045 (3.5)
english
composition
(three tracks,
choose one)
C1010 (3)
Z1003 (0)
Z0006 (0)
C1010 (3)
Z1003 (0) C1010 (3)
required
nontechnical
electives
ECON W1105 (4) and W1155 recitation (0)
either semester
HUMA C1001,
COCI C1101,
or Global Core (3–4)
HUMA C1002,
COCI C1102,
or Global Core (3–4)
HUMA W1121 or W1123 (3)
either semester
first- and
Second-Year
Dept.
Requirements
Professional-level course (3) (see pages 12–13)
IEOR E2261 (4)
and IEOR E3658 (3) or STAT W4105 (3)
and IEOR E4307 (3) 3
computer
science
COMS W1004 (Java) (3) or COMS W1007 (Java) (3)
and COMS W3134 (3) or COMS W3137 (3) 2
physical
education
C1001 (1) C1002 (1)
gateway lab
E1102 (4) either semester
1 The linear algebra requirement may be filled by either MATH V2010 or APMA E3101.
2 Computer programming should be taken consecutively with data structures.
3 Students may also take STAT W3107 or W4107; however, the department strongly recommends IEOR E4307 in the spring term.
IEOR E4602y Quantitative risk management
3 pts. Lect: 3. Professor Haugh.
Prerequisites: SIEO W4150 and IEOR E4106.
Risk management models and tools; measure risk
using statistical and stochastic methods, hedging
and diversification. Examples include insurance
risk, financial risk, and operational risk. Topics
covered include VaR, estimating rare events,
extreme value analysis, time series estimation of
extremal events; axioms of risk measures, hedging
using financial options, credit risk modeling, and
various insurance risk models.
IEOR E4611y Decision models and
applications
3 pts. Lect: 3. Professor Webster.
Prerequisites: For undergraduates: SIEO W3600/
SIEO W4150 or equivalent and IEOR E3608/
IEOR E4004 or equivalent. For graduate students:
Instructor’s permission required. Corequisite: IEOR
E4404 or equivalent. Introduction to deterministic
and stochastic decision tools used by leading
corporations and applied researchers. Realworld
problems in engineering and finance are
discussed.
IEOR E4620x Pricing models for financial
engineering
3 pts. Lect: 3. Professor DeRosa.
Prerequisite: IEOR E4700. This course is
required for undergraduate students majoring in
OR:FE. Characteristics of commodities or credit
derivatives. Case study and pricing of structures
and products. Topics covered include swaps,
credit derivatives, single tranche CDO, hedging,
convertible arbitrage, FX, leverage leases, debt
markets, and commodities.
engineering 2011–2012