Fall 2024 Industrial Engineering and Operations Research E4700 section V01

INTRO TO FINANCIAL ENGINEERING

INTRO TO FINANCIAL ENGINE

Call Number 17609
Points 3
Grading Mode Standard
Approvals Required None
Instructor David D Yao
Type LECTURE
Method of Instruction On-Line Only
Course Description

Prerequisite(s): IEOR E4106 or E3106. Required for undergraduate students majoring in OR:FE. Introduction to investment and financial instruments via portfolio theory and derivative securities, using basic operations research/engineering methodology. Portfolio theory, arbitrage; Markowitz model, market equilibrium, and the capital asset pricing model. General models for asset price fluctuations in discrete and continuous time. Elementary introduction to Brownian motion and geometric Brownian motion. Option theory; Black-Scholes equation and call option formula. Computational methods such as Monte Carlo simulation.

Web Site Vergil
Department Video Network
Enrollment 6 students (99 max) as of 4:06PM Friday, April 4, 2025
Subject Industrial Engineering and Operations Research
Number E4700
Section V01
Division School of Engineering and Applied Science: Graduate
Fee $395 CVN Course Fee
Note VIDEO NETWORK STUDENTS ONLY
Section key 20243IEOR4700EV01