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

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166 IEOR E4709x Data analysis for financial engineering 3 pts. Lect: 3. Professor Kou. Prerequisites: Probability and IEOR E4702. Corequisites: IEOR E4706, E4707. This course is for MSFE students only. Empirical analysis of asset prices: heavy tails, test of the predictability of stock returns. Financial time series: ARMA, stochastic volatility, and GARCH models. Regression models: linear regression and test of CAPM, nonlinear regression and fitting of term structures. IEOR E4710y Term structure models 3 pts. Lect: 3. Professor Haugh. Prerequisites: IEOR E4706, E4707, and computer programming. Interest rate models and numerical techniques for pricing and hedging interest rate contracts and fixed income securities IEOR E4718y Introduction to the implied volatility smile 3 pts. Lect: 3. Professor Derman. Prerequisites: IEOR E4706, knowledge of derivatives valuation models. During the past 15 years the behavior of market options prices have shown systematic deviations from the classic Black-Scholes model. The course examines the empirical behavior of implied volatilities, in particular the volatility smile that now characterizes most markets, the mathematics and intuition behind new models that can account for the smile, and their consequences for hedging and valuation. IEOR E4720x and y–E4729 Topics in quantitative finance 1.5–3 pts. Lect: 2–2.5. Members of the faculty. Prerequisites: IEOR E4700; additional prerequisites will be announced depending on offering. Selected topics of interest in the area of quantitative finance. Offerings vary each year; some topics include: energy derivatives, experimental finance, foreign exchange and related derivative instruments, inflation derivatives, hedge fund management, modeling equity derivatives in Java, mortgage-backed securities, numerical solutions of partial differential equations, quantitative portfolio management, risk management, trade and technology in financial markets. IEOR E4725y Topics in quantitative finance: numerical solutions of partial differential equation 3 pts. Lect: 3. Not offered in 2011–2012. Prerequisites: IEOR E4706 and E4707. The course covers derivations and solutions of partial differential equations under variety of underlying stochastic price processes. Students will gain exposure to applications of partial differential equations to security pricing in different financial markets (i.e. equity derivatives, fixed income securities and credit derivative markets). IEOR E4726y Topics in quantitative finance: experimental finance 3 pts. Lect: 3. Professors Lipkin and Stanton. Prerequisites: IEOR E4706 and E4707. The course introduces concepts to propose trading schema, organize tests via options/stock databases and carry out tests efficiently and accurately. It exposes students to the striking differences between static, thermodynamic/ SDE model solutions and real (time-of-flight) pricing. They become familiar with computational techniques for modeling and testing proposals for trading strategies. IEOR E4729 Financial markets, risk, and institutions 1.5 pts. Lect: 1.5. Corequisites: IEOR E4701, E4702, E4706. This course is for MSFE students only, offered during the summer session. This core curriculum course introduces students pursuing a graduate degree in financial engineering to the main areas and concepts of modern finance. Topics include financial analytics; fixed income and equity markets; macroeconomic aspects of investment decisions; portfolio and utility theories; introduction to risk management; financial crises. The course’s objective is to provide the broadest possible perspective on how financial theory and real-life practice interact, preparing students for successful careers in the financial industry and paving the way for in-depth studies that follow. IEOR E4731y Credit risk modeling and credit derivatives 3 pts. Lect: 3. Instructor to be announced. Prerequisites: IEOR E4701 and 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). Detail topics include default and credit risk, multiname default barrier models and multiname reduced form models. IEOR E4900x and y Master’s research or project 1–3 pts. Members of the faculty. Prerequisite: Approval by a faculty member who agrees to supervise the work. Independent work involving experiments, computer programming, analytical investigation, or engineering design. IEOR E4998x and y Managing technological innovation and entrepreneurship 3 pts. Lect: 3. Professor McGourty. This is a required course for undergraduate students majoring in OR:EMS. Focus on the management and consequences of technologybased innovation. Explores how new industries are created, how existing industries can be transformed by new technologies, the linkages between technological development and the creation of wealth and the management challenges of pursuing strategic innovation. IEOR E4999x and y Curricular practical training 1–2 pts. Professor Derman. Prerequisites: Obtained internship and approval from faculty adviser. Only for IEOR graduate students who need relevant work experience as part of their program of study. Final reports required. This course may not be taken for pass/ fail credit or audited. MSIE W6408y Inventory theory 3 pts. Lect: 3. Prerequisites: Probability theory, dynamic programming. Construction and analysis of mathematical models used in the design and analysis of inventory systems. Deterministic and stochastic demands and lead times. Optimality of (s, S) policies. Multiproduct and multiechelon systems. Computational methods. IEOR E6602y Nonlinear programming 3 pts. Lect: 3. Prerequisite: Ph.D.-level linear programming. Convex sets and functions, convex duality and optimality conditions. Computational methods: steepest descent, Newton and quasi-newton methods for unconstrained problems, active set, penalty set, interior point, augmented Lagrangian and sequential quadratic programming methods for constrained problems. Introduction to nondifferentiable optimization and bundle methods. IEOR E6613x Optimization, I 4.5 pts. Lect: 3. Professor Goldfarb. Prerequisite: Linear algebra. Theory and geometry of linear programming. The simplex method. Duality theory, sensitivity analysis, column generation and decomposition. Interior point methods. Introduction to nonlinear optimization: convexity, optimality conditions, steepest descent, and Newton’s method, active set, and barrier methods. IEOR E6614y Optimization, II 4.5 pts. Lect: 3. Professor Stein. Prerequisite: Linear algebra. An introduction to combinatorial optimization, network flows and discrete algorithms. Shortest path problems, maximum flow problems. Matching problems, bipartite and cardinality nonbipartite. Introduction to discrete algorithms and complexity theory: NP-completeness and approximation algorithms. IEOR E6703y Advanced financial engineering 3 pts. Lect: 2. Not offered in 2011–2012. Prerequisites: Probability theory and advanced stochastic models at the SIEO W6501 level. Review of basic mathematics, including renewal theory and stochastic calculus. Martingale approach to Black-Scholes formula. Optimal stopping and American options. Pricing of continuous and discrete exotic options. Term structure models and pricing of bond options. Jump diffusion models. Applications, including pricing of real and electricity options and hedging of real options. IEOR E6711x Stochastic models, I 4.5 pts. Lect: 3. Professor Olvera-Cravioto. Prerequisite: SIEO W4105 or equivalent. Advanced treatment of stochastic modeling in the context of queueing, reliability, manufacturing, insurance risk, financial engineering and other engineering engineering 2011–2012
applications. Review of elements of probability theory; exponential distribution; renewal theory; Wald’s equation; Poisson processes. Introduction to both discrete and continuous-time Markov chains; introduction to Brownian motion. IEOR E6712y Stochastic models, II 4.5 pts. Lect: 3. Professor Yao. Prerequisite: IEOR E6711 or equivalent. Continuation of IEOR E6711, covering further topics in stochastic modeling in the context of queueing, reliability, manufacturing, insurance risk, financial engineering, and other engineering applications. Topics from among generalized semi-Markov processes; processes with a nondiscrete state space; point processes; stochastic comparisons; martingales; introduction to stochastic calculus. IEOR E8100x and y Advanced topics in IEOR 1–3 pts. Members of the faculty. Prerequisite: Faculty adviser’s permission. Selected topics of current research interest. May be taken more than once for credit. IEOR E9101x and y Research 1–6 pts. Members of the faculty. Before registering, the student must submit an outline of the proposed work for approval by the supervisor and the chair of the Department. Advanced study in a specialized field under the supervision of a member of the department staff. This course may be repeated for credit. IEOR E9800x and y Doctoral research instruction 3, 6, 9, or 12 pts. Members of the faculty. A candidate for the Eng.Sc.D. degree in industrial engineering or operations research must register for 12 points of doctoral research instruction. Registration in IEOR E9800 may not be used to satisfy the minimum residence requirement for the Ph.D. degree. 167 engineering 2011–2012
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Bulletin 2011 -2012
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Bulletin 2011 -2012
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a message from the dean As students
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About the School and University
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3 After receiving a master’s degr
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Resources and Facilities 5 A Colleg
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• CourseWorks is the University c
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Undergraduate Studies
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students improve their ability to e
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transistors, first order RC and RL
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possible overseas destinations and
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more than 68 transfer points toward
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Programs Registered with the New Yo
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Applicants may submit results of th
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Undergraduate Tuition, Fees, and Pa
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financial aid for undergraduate stu
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family’s financial situation. Con
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Graduate Studies
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statements covering these special r
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33 Completion of Requirements The r
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graduate admissions 35 Office of Gr
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Graduate tuition, fees, and payment
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financial aid for graduate study 39
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esearch assistantships, readerships
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Faculty and Administration
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45 Xi Chen Associate Professor of E
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S. G. Steven Kou Professor of Indus
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Tiffany Shaw Assistant Professor of
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Enders Robinson Maurice Ewing and J
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Departments and Academic Programs
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55 IEOR INAF INTA MATH MEBM Industr
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techniques based on the theory of g
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Applied Physics: Third and Fourth Y
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Applied mathematics: Third and Four
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are determined in consultation with
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APPH E4110x Modern optics 3 pts. Le
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squares method, pseudo-inverses, si
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iomedical engineering 351 Engineeri
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of courses in mathematics, physics,
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iomedical engineering. Up to 12 poi
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iomedical engineering Program: Thir
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BMEN E4420y Biomedical signal proce
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BMEN E6400x Analysis and quantifica
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chemical nature of things and provi
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and broad-ranging nature of the deg
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chemical engineering: Third and Fou
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principles, environmental sciences,
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systems are treated next (dominant
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civil engineering and engineering m
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Program Objectives In developing an
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civil engineering: Third and Fourth
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engineering mechanics: Third and Fo
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and leadership on the part of engin
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ENME E4363y Multiscale computationa
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computer engineering program: first
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computer engineering program: first
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Computer Science 450 Computer Scien
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Track 2: Systems Track The systems
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computer science: Third and Fourth
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CSEE W3827x and y Fundamentals of c
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Class of 1900 (1940) Gift of the Cl
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James M. and Elizabeth S. Li Endowe
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Max Yablick Memorial Scholarship (1
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Applied Physics Faculty Award Award
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time to that member of the graduati
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228 Academic Procedures and Standar
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230 calendar day, not a 24-hour tim
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232 Academic standing Academic Hono
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234 Policy on Conduct and Disciplin
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236 • Understand what instructors
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238 Student Grievances, Academic Co
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240 C. Discrimination and sexual ha
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242 columbia university resource li
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244 Medical Services John Jay Hall,
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246 The Morningside Heights Area of
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248 Center for Career Education (CC
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250 See also payments fellowships,
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252 parents contributions to educat
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254 notes engineering 2011-2012
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256 notes engineering 2011-2012
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500 West 120th Street New York, New
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