Fall

IEORE4700 Introduction to Financial Engineering


Instructor: David Yao


3 pts. Lect: 3. IEOR E3106 or IEOR E4106: Introduction to Operations Research: Stochastic Models. This course is required for undergraduate students majoring in OR:FE. The emphasis of the course is on stochastic modeling and optimization as tools for financial decision making. The objective is to help students develop basic skills in modeling, problem solving and quantitative analysis of risk-return tradeoffs. Topics covered include: dynamic cash-flow analysis, bond pricing, Markowitz model, CAPM, Brownian motion, Ito's calculus, martingale measures, Black-Scholes-Merton model, options and futures, numerical methods, delta hedging, VaR.



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