2009-2010 Bulletin – PDF - SEAS Bulletin - Columbia University

B.S. in Operations Research:
Financial Engineering
The operations research concentration
in financial engineering is designed to
provide students with an understanding
of the application of engineering
methodologies and quantitative methods
to finance. Financial engineering is a
multidisciplinary field integrating financial
theory with economics, methods of
engineering, tools of mathematics, and
practice of programming. Students
graduating with this concentration are
prepared to enter careers in securities,
banking, financial management, and
consulting industries, and fill quantitative
roles in corporate treasury and finance
departments of general manufacturing
and service firms.
Students who are interested in
pursuing the rigorous concentration in
financial engineering must demonstrate
proficiency in calculus, computer programming,
linear algebra, ordinary
differential equations, probability, and
statistics. Applications to the concentration
will be accepted during the fall
semester of the sophomore year, and
students will be notified of the departmental
decision by the end of that
spring semester. The department is seeking
students who demonstrate strength
and consistency in all the above-mentioned
areas. Application to this concentration
is available online: www.ieor.columbia.
edu/pages/undergraduate/financial_eng/
bsfe_app.html.
Undergraduate Advanced Track
The undergraduate advanced track is
designed for advanced undergraduate
students with the desire to pursue further
higher education after graduation.
Students with a minimum cumulative
GPA of 3.4 and faculty approval have
the opportunity to participate. Students
are invited to apply to the track upon
the completion of their sophomore year.
Advanced track students are required to
take higher-level IEOR courses, including
the following:
IEOR E4004 instead of IEOR E3608
IEOR E4106 instead of IEOR E3106
IEOR E4403 instead of IEOR E4003
and MATH V2500
Students successfully completing
the requirements of the undergraduate
advanced track will receive recognition
on their academic record.
Minors
A number of minors are available for
students wishing to add them to their
programs. These minors are described
starting on page 186 of this bulletin.
IEOR program students may want
to consider minors in economics or
computer science. In addition, operations
research and engineering and
management systems majors may elect
to minor in industrial engineering, and
industrial engineering majors may elect
to minor in operations research.
The department does not offer a
minor in engineering management
systems or financial engineering.
Major in Economics—
Operations Research
Students in Columbia College and the
School of General Studies may register
for a major in economics and operations
research. This degree provides a student
with a foundation in economic theory
comparable to that provided by the general
economics major while at the same
time introducing the student to the field
of operations research. The program is
recommended for students with strong
quantitative skills who are contemplating
graduate studies in economics, operations
research, or business.
For more information on the major
in economics and operations research,
students should contact the departmental
advisers: In Economics, Professor
Susan Elmes, 1018 International Affairs
Building, 212-854-3680, and in IEOR,
Professor Donald Goldfarb, 313 S. W.
Mudd, 212-854-8011.
Required courses
This program requires a total of 50.5
points: 23 points in economics, 11
points in mathematics, 13.5 points in
industrial engineering and operations
research, and 3 points in computer
science.
ECONOMICS
ECON W1105: Principles of economics
ECON W3211: Intermediate microeconomics
ECON W3213: Intermediate macroeconomics
ECON W3412: Introduction to econometrics
one seminar
two electives (one must be above the 2000
level). At least one of the electives must have
W3211 or W3213 as a prerequisite.
OPERATIONS RESEARCH
SIEO W3600 or SIEO W4150: Introduction to
probability and statistics
IEOR E3106 or IEOR E4106: Introduction to
operations research: stochastic models
IEOR E3608: Introduction to mathematical programming
(or IEOR E4004: Introduction to operations
research: deterministic models)
one elective with the IEOR designation
Note: It is important to take SIEO W3600, IEOR
E3608, and IEOR E3106 as early as feasible;
they are prerequisites for most other courses in
the program.
MATHEMATICS
V1101, V1102, and V1201 (Calculus I, II, and III),
V2010 (Linear algebra)
COMPUTER SCIENCE
COMS W1004 or W1007: Introduction to computer
programming
or
another approved computer science course that
involves substantial work in programming.
GRADUATE PROGRAMS
The Department of Industrial Engineering
and Operations Research offers courses
and M.S. programs in (1) engineering
management systems, (2) financial engineering,
(3) industrial engineering, and (4)
operations research. Graduate programs
leading to a Ph.D. or Eng.Sc.D. in industrial
engineering or operations research,
as well as one leading to the professional
degree of Industrial Engineer, are also
available. In addition, the department and
the Graduate School of Business offer
combined M.S./M.B.A. degree programs
in industrial engineering, in financial engineering,
and in operations research.
All degree program applicants are
required to take the Aptitude Tests of
the Graduate Record Examination.
M.S./M.B.A. candidates are also required
to take the Graduate Management
Admissions Test.
A minimum grade point average of
3.0 (B) in an undergraduate engineering
program is required for admission to the
M.S. and professional degree programs.
Students are expected, on entry, to have
completed courses in ordinary differential
equations, in linear algebra, and in a programming
language such as C or Java.
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SEAS 2009–2010