Piyasombatkul Family Professor
David Yao joined the IEOR Department in 1983, and became a full professor in 1988. He has been an IEEE fellow, and a recipient of many awards, including the Outstanding Paper Prize (2003) from the Society for Industrial and Applied Mathematics, the Franz Edelman Award (1999) from the Institute...
Director of the MS Program in FE and Professor of Professional Practice
Professor Emanuel Derman joined Columbia University's Industrial Engineering and Operations Research Department in 2003. Prior to joining Columbia, he was a managing director at Goldman Sachs, where he was head of the quantitative strategies group in the equities division, and then head of...
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.