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

162
OPERATIONS RESEARCH: ENGINEERING MANAGEMENT SYSTEMS:
FIRST AND SECOND YEARS
SEMESTER I SEMESTER II SEMESTER III SEMESTER IV
MATHEMATICS
MATH V1101 (3) MATH V1102 (3) MATH V1201 (3) Linear algebra (3) 1
PHYSICS
(three tracks, choose one)
Chemistry or physics lab:
C1401 (3) C1402 (3) PHYS C1493 (3) or
C1601 (3.5) C1602 (3.5) PHYS W3081 (2) or
C2801 (4.5) C2802 (4.5) CHEM C1500 (3) or
CHEM C2507 (3) or
CHEM C3085 (4) or
CHEMISTRY
(choose one course)
ENGLISH
COMPOSITION
(three tracks, choose one)
C1403 (3) or C1404 (3) or
C1604 (3.5) or C3045 (3.5)
C1010 (3)
Z1003 (0) C1010 (3)
Z0006 (0) Z1003 (0) C1010 (3)
REQUIRED
NONTECHNICAL
ELECTIVES
ECON W1105 (4) and W1155 recitation (0)
either semester
HUMA C1001, C0CI C1101, HUMA C1002, C0CI C1102,
or Global Core (3–4) or Global Core (3–4)
HUMA W1121 or W1123 (3)
either semester
FIRST- AND SECOND-
YEAR DEPT.
REQUIREMENTS
COMPUTER
SCIENCE
PHYSICAL
EDUCATION
GATEWAY LAB
Professional-level course (3) (see pages 12–13) ENGI E2261 (3) SIEO W3600 (4)
C1001 (1) C1002 (1)
E1102 (4) either semester
COMS W1004 (Java) (3) or
COMS W1007 (Java) (3) 2
and
COMS W3134 (3) or
COMS W3137 (4) 2
1 The linear algebra requirement may be filled by either MATH V2010 or APMA E3101.
management, trading and technology in financial
markets.
IEOR E4724x Topics in quantitative finance:
hedge fund management
Lect: . 1.5–3 pts. Professor Metzger.
The course covers the critical managerial aspects
and characteristics of hedge funds and the hedge
fund industry, including legal regulations, strategies,
risk management, performance evaluation, etc.
IEOR E4725y or s Topics in quantitative
finance: numerical solutions of partial
differential equations
Lect: . 1.5–3 pts. Professor Kani.
The course covers derivations and solutions of
partial differential equations under a variety of
underlying stochastic price processes. Students
will gain exposure to applications of partial differential
equations to security pricing in different
financial markets (i.e., equity derivatives, fixed
income securities, and credit derivative markets).
IEOR E4726y Topics in quantitative finance:
experimental finance
Lect: . 3 pts. Professors Stanton and Lipkin.
The course introduces concepts to propose trading
schema, organize tests via options/stock databases,
and carry out tests efficiently and accurately.
It exposes students to the striking differences
between static, thermodynamic/SDE model solutions
and real (time-of-flight) pricing. They will
become familiar with computational techniques for
modeling and testing proposals for trading strategies.
IEOR E4731y Credit derivatives
Lect: 2.5. 3 pts. The faculty.
Prerequisites: IEOR E4701 and E4707.
Introduction to quantitative modeling of credit risk,
with a focus on the pricing of credit derivatives.
Focus on the pricing of single-name credit derivatives
(credit default swaps) and collateralized debt
obligations (CDOs). Detail topics include: default
and credit risk, arbitrage pricing, default times,
single-name credit derivatives, structured models
for single-name credit risk, multi-name default
barrier models and multi-name reduced form models.
IEOR E4900x, y, and s Master’s research or
project
1 to 3 pts. The faculty.
Prerequisite: Approval by a faculty member who
SEAS 2009–2010