2008-2009 Bulletin – PDF - SEAS Bulletin - Columbia University

OPERATIONS RESEARCH: FINANCIAL ENGINEERING:
THIRD AND FOURTH YEARS
161
SEMESTER V SEMESTER VI SEMESTER VII SEMESTER VIII
IEOR E3608 (4) IEOR E3402 (4) IEOR E4307 (3) IEOR E4500 (3)
Mathematical prog. Production planning Forecasting Applications prog. for FE
REQUIRED
COURSES
IEOR E3106 (3) IEOR E4404 (4) IEOR E4407 (3) IEOR E4630 (3)
Stochastic models Simulation Game theoretic models Applied FE
of operations
IEOR E4003 (3) IEOR E4700 (3) ECON E3412 (3)
Industrial econ. Intro. to FE IEOR E4620 (3) Intro. to econometrics
Pricing models for FE
ECON W3213 (3) COMS W4111 (3)
Macroeconomics
Database systems
ECON W3211 (3)
Microeconomics
ELECTIVES
APMA
FE TECH
NONTECH
Choose two (6 points total): IEOR E4405, IEOR E4600, IEOR E4709, CSOR W4231, APMA E4300,
BUSI F3008, MATH V4061, SIEO W4801, SIEO W4802
Complete 27-point requirement; see page 11 or www.engineering.columbia.edu for details
instructor’s permission. Introduces quantitative
techniques and state-of-the-art practice of operations
research relevant to the design and both the
tactical and strategic management of logistical
and transportation systems. Discusses a wide
variety of passenger and freight systems, including
air, urban and highway traffic, rail, and maritime
systems. Explores the practice of revenue
management and dynamic pricing. Through case
studies, analyzes successes and failures in thirdparty
logistics, postal, truck and rail pickup and
delivery systems. Investigates large-scale integrated
logistics and transportation systems and
studies the underlying principles governing transportation
planning, investment and operations.
IEOR E4500y Applications programming for FE
Lect: 2.5. 3 pts. Professor Bienstock.
Prerequisites: Programming in Java, C, or C++
and the instructor’s approval. In this course we will
take a hands-on approach to developing computer
applications for OR and FE. Beginning with basic
programs, we will work our way to full-blown systems
with graphical interfaces that exercise important
uses of operations research and financial
engineering. Examples: simulation of stock price
evolution, tracking and evaluation of a stock portfolio,
simulation of a transportation system, optimization
of an inventory system. In the course of developing
these applications, we will review topics of interest
to OR/FE in a holistic fashion.
IEOR E4550x Entrepreneurial business
creation for engineers
Lect: 3. 3 pts. Professor Robbins.
Prerequisites: ECON W1105 and ECON W2261.
Introduces the basic concepts and methodologies
that are used by the nonengineering part of the
world in creating, funding, investing in, relating to,
and operating entrepreneurial ventures. The first
half of the course focuses on the underpinning
principles and skills required in recognizing, analyzing,
evaluating, and nurturing a business idea.
The second half focuses on basic legal knowledge
necessary in creating a business entity,
defending your business assets, and promoting
effective interaction with other individuals and
organizations.
IEOR E4600y Applied integer programming
Lect: 3. 3 pts. Professor Bienstock.
Prerequisites: IEOR E3608 and E4004, linear
algebra (MATH V2010 or APMA E3101), and a
working knowledge of computer programming.
Applications of mathematical programming techniques,
especially integer programming, with
emphasis on software implementation. Typical
applications: capacity expansion, network design,
and scheduling.
IEOR E4601y Dynamic pricing and revenue
management
Lect: 2.5. 3 pts. Professor Gallego.
Prerequisite: SIEO W4150 and IEOR E4004.
Focus on capacity allocation, dynamic pricing and
revenue management. Perishable and/or limited
product and pricing implications. Applications to
various industries, including service, airlines,
hotel, resource rentals, etc.
IEOR E4602y Quantitative risk management
Lect: 2.5. 3 pts. Professor Blanchet.
Prerequisite: 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 E4620y Applied financial engineering
Lect: 2.5. 3 pts. Professor Dehnad.
Prerequisite: IEOR E4700. 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.
IEOR E4630x Pricing models for financial
engineering
Lect: 2.5. 3 pts. Professor Dehnad.
Prerequisite: IEOR E4700. Models for pricing and
hedging equity, fixed-income, credit-derivative
securities, standard tools for hedging and risk
management, models and theoretical foundations
for pricing equity options (standard European,
SEAS 2008–2009