| Call Number | 14640 |
|---|---|
| Day & Time Location |
TR 10:10am-11:25am To be announced |
| Points | 3 |
| Grading Mode | Standard |
| Approvals Required | None |
| Instructor | David D Yao |
| Type | LECTURE |
| Method of Instruction | In-Person |
| 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 | Industrial Engineering and Operations Research |
| Enrollment | 100 students (100 max) as of 6:06PM Thursday, January 2, 2025 |
| Status | Full |
| Subject | Industrial Engineering and Operations Research |
| Number | E4700 |
| Section | 001 |
| Division | School of Engineering and Applied Science: Graduate |
| Open To | Engineering:Undergraduate, Engineering:Graduate |
| Section key | 20251IEOR4700E001 |