| Call Number | 11714 |
|---|---|
| Day & Time Location |
TR 4:10pm-5:25pm 301 Pupin Laboratories |
| Points | 3 |
| Grading Mode | Standard |
| Approvals Required | None |
| Instructor | Christopher A Perez |
| Type | LECTURE |
| Method of Instruction | In-Person |
| Course Description | 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, American equity options, Asian options), standard Black-Scholes model (with multiasset extension), asset allocation, portfolio optimization, investments over longtime horizons, and pricing of fixed-income derivatives (Ho-Lee, Black-Derman-Toy, Heath-Jarrow-Morton interest rate model). |
| Web Site | Vergil |
| Department | Industrial Engineering and Operations Research |
| Enrollment | 69 students (130 max) as of 9:05AM Saturday, December 21, 2024 |
| Subject | Industrial Engineering and Operations Research |
| Number | E4630 |
| Section | 001 |
| Division | School of Engineering and Applied Science: Graduate |
| Open To | Engineering:Undergraduate, Engineering:Graduate |
| Section key | 20241IEOR4630E001 |