IEORE4736 Event Driven Finance

Instructor: Michael D. Lipkin

Additional Information: IEOR_E4736_Spring_2014_Syllabus.pdf

3 pts. Lect: 3. IEOR E4706: Foundations of Financial Engineering, IEOR E4707: Financial Engineering: Continuous Time Models, and students familiar with simple Black-Scholes pricing.

Event Driven Finance, taught by M. Lipkin A. Stanton. The course takes a long deep look at the actual behavior of real stocks and options in the presence of commonplace, but singular events, such as earnings take-overs, hard-to-borrowness, expirations, etc. The course introduces concepts to propose trading schema (we organize tests via the very extensive and robust IVY options/stock database) and carry out tests efficiently and accurately. It exposes students to the striking differences between the model-based (static, thermodynamic/SDE model solutions) behavior predicted for stocks and options and their real (often quite different) behavior. They will become familiar with computational techniques for modeling and testing proposals for trading strategies.

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