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

In addition to courses within the
Engineering School, students can also
take electives from various schools within
the University, such as the Business
School, the School of International and
Public Affairs, the Graduate School of
Arts and Sciences, and the Law School.
MSIE students may choose concentrations
in the following areas:
Production and operations management
(www.ieor.columbia.edu/pages/graduate/
ms_industrial_eng/pom.html)
Regulated industries
(www.ieor.columbia.edu/pages/graduate/
ms_industrial_eng/ri.html)
The MSIE program can be taken on
a part-time basis or completed in one
year of full-time study. Students planning
to complete this program in one year 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.
The department requires that MSIE
students achieve grades of B– or higher
in each of the fundamental core courses
(IEOR E4004 and IEOR E4106). Poor
performance in these courses is indicative
of inadequate preparation and is
very likely to lead to serious problems in
completing the program. In addition,
students must maintain a cumulative
GPA equivalent to a B– during every
term enrolled. Students failing to meet
these criteria may be asked to withdraw
from the program.
M.S. in Financial Engineering—May 2010 Completion (36 points) 1
Summer Semester
(7.5 points) 2
Required core courses:
IEOR E4701 Stochastic models
for financial engineering
IEOR E4702 Statistical inference
for financial engineering
(1.5)
IEOR E4706 Foundations of
financial engineering
Fall Semester
(15 points) 2
Required core courses:
IEOR E4007 Optimization for
financial engineering
M.S. in Operations Research
The Master of Science program in operations
research (30 points) is designed
to enable students to concentrate their
studies in methodological areas such as
mathematical programming, stochastic
models, and simulation. The department
offers a variety of domain-specific courses
in areas that include logistics, supply
chain management, revenue management,
risk management, and financial
engineering.
All students must take at least 18
points of graduate work in the IEOR
Department (denoted by courses with
the IEOR designation) and at least 30
points of graduate studies at Columbia.
In addition to courses within the
Engineering School, students can also
take electives from various schools within
the University, such as the Business
School, the School of International and
Public Affairs, the Graduate School of
Arts and Sciences, and the Law School.
The MSOR program can be taken on
a part-time basis or completed in one
year of full-time study. Students planning
to complete this program in one year 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.
The Department requires that MSOR
students achieve grades of B– or higher
in each of the fundamental core courses
(IEOR E4004 and IEOR E4106). Poor
performance in these courses is indicative
of inadequate preparation and is
very likely to lead to serious problems
in completing the program. In addition,
students must maintain a cumulative
GPA equivalent to a B– during every
term enrolled. Students failing to meet
these criteria may be asked to withdraw
from the program.
IEOR E4703 Monte Carlo simulation
IEOR E4707 Continuous time
finance
IEOR E4709 Data analysis for
financial engineering
Elective
Spring Semester
(13.5 points) 2
Choose four from the courses
below, plus one other course in
consultation with faculty adviser: 3
IEOR E4500 Applications programming
for financial engineering
IEOR E4602 Quantitative risk
management
IEOR E4630 Asset allocation
IEOR E4708 Seminar on important
papers in financial engineering
IEOR E4710 Term structure
modeling
IEOR E4718 Intro to implied
volatility smile
IEOR E4731 Credit risk and
credit derivatives
DRAN B8835 Security pricing
models
1 Students may conclude the program in May, August, or December 2010. Please visit the departmental
Web site (www.ieor.columbia.edu/pages/graduate/ms_financial_eng/index.html) for more information.
2 All courses listed are for 3 credits, unless stated otherwise.
3 Other courses include experimental finance, foreign exchange and related derivative instruments, hedge
fund management, structured products, etc. Specific offerings may vary each term.
Joint M.S. and M.B.A.
The joint M.S. and M.B.A. degree program
offered by The Fu Foundation
School of Engineering and Applied
Science and the Graduate School of
Business trains students interested in
combining business and engineering
careers. This option is available for students
in the financial engineering, industrial
engineering, and operations
research programs.
Admission for the combined program
requires filling out separate applications
from both schools, meeting the requirements
of both schools; admission
requirements are the same as those for
the regular M.S. programs and for the
M.B.A. Students in the program will
have advisers assigned from both schools.
For more information, please visit
the department or see the departmental
Web site at www.ieor.columbia.edu.
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SEAS 2009–2010