普林斯顿大学运营与金融工程系(Operations Research and Financial Engineering )

2006年春季学期课程表

ECO464-FIN519_S2006 Corporate Restructuring (ECO464-FIN519_S2006)

Instructor Users: Ormond Sexton

This course applies topics from microeconomics (Economics 310) and corporate finance

(Economics 363) to study corporate restructuring. Topics include mergers, acquisitions,

joint ventures, divestiture and share repurchases. Each of these is discussed in the context

of the relevant economic theory, institutional and regulatory environment, and with a focus

on shareholder value.

ECO466-FIN521_S2006 Fixed Income: Models and Applications (ECO466-FIN521_S2006)

Instructor Users: Robert Kimmel

This course will deal with no-arbitrage models of contracts based on interest rates

including bonds, forward and future contracts, swaps, options and other derivatives. We will

develop the theory of arbitrage-free pricing of financial assets in discrete and continuous

time, as well as many special models that can be used to price and hedge fixed income

securities.

ECO467-FIN567_S2006 Institutional Finance (ECO467-FIN567_S2006)

Instructor Users: Shmuel Baruch, Markus Brunnermeier

Financial institutions play an increasingly dominant role in modern finance. This course

studies financial institutions and focuses on the stability of the financial system. It

covers important theoretical concepts and recent developments in financial intermediation,

asset pricing under asymmetric information, behavioral finance, and market microstructure.

Topics include market efficiency, asset price bubbles, herding, liquidity crises, risk

management, market design, and financial regulation.

ECO526-FIN596_S2006 Financial Economics II (ECO526-FIN596_S2006)

Instructor Users: Hyun Shin

Review of probability and stochastic processes, stochastic integrals, reduction to

martingale gains from trade, change of variable (Ito's lemma, local time, generalized Ito's

formula, Girsanov's theorem), stochastic differential equations, the Black-Scholes model,

the term-structure of interest rates, equilibrium assest pricing, an introduction to the

optimal control of diffusions and some applications.

FIN502_S2006 Corporate Finance and Financial Accounting (FIN502_S2006)

Instructor Users: Robert Kimmel

Modern financial theory and its implications for decisions faced by corporate financial

officers. We will focus on investment decisions and capital budgeting under various

assumptions about the investment environment (for example, certain or uncertain outcomes)

and the legal/regulatory environment (such as different types of tax regimes). We also

examine financing decisions concerning the type of securities to be issued, amount of

dividends to be paid, etc., plus a selection of additional topics, such as

convertible/hybrid securities, real options, or corporate structure and control will also be

covered.

FIN561_S2006 Master's Project II (FIN561_S2006)
Instructor Users:
Under the direction of a Bendheim affiliated faculty member, students carry out a master's

project, write a report, and present the results in the form of a poster or an oral

presentation in front of an examining committee.

ORF504-FIN504_S2006 Financial Econometrics (ORF504-FIN504_S2006)

Instructor Users: Jianqing Fan

This course covers econometric and statistical methods as applied to finance. Topics

include: 1. Overview of Statistical Methods 2. Predictability of asset returns 3. Discrete

time volatility models 4. Efficient Portfolio and CAPM 5. Multifactor Pricing Models 6.

Intertemporal Equilibrium and Stochastic Discount Models 7. Expectation and present value

relation 8. Simulation methods for financial derivatives 9. Econometrics of financial

derivatives 10. Forecast and Management of Market Risks 11. Multivariate time series in

finance 12. Nonparametric methods in financial econometrics*

ORF515-FIN503_S2006 Asset Pricing II: Stochastic Calculus and Advanced Derivatives (ORF515

-FIN503_S2006)

Instructor Users: Victoria Henderson

This course covers the pricing and hedging of advanced derivatives including topics such as

exotic options, greeks, interest rate derivatives, credit derivatives and real options. The

course will cover basics of stochastic calculus necessary for finance. It is designed for

Masters students.

ORF531-FIN531_S2006 Computational Finance in C++ (ORF531-FIN531_S2006)

Instructor Users: Rene Carmona

The intent of this course is to introduce the student to the technical and algorithmic

aspects of a wide spectrum of computer applications currently used in the financial

industry, and to prepare the student for the development of new applications. The student

will be introduced to C++, the weekly homework will involve writing C++ code, and the final

project will also involve programming in the same environment.

ORF534-FIN534_S2006 Financial Engineering (ORF534-FIN534_S2006)

Instructor Users: John Mulvey

Concepts and methods of financial engineering and financial optimization. Stochastic methods

for valuing portfolios of assets and liabilities. Alternative definitions of risk.

Diversification techniques for reducing risks within large financial organizations. Temporal

issues. Customizing securities by means of asset and liability management systems. Portfolio

optimization.

Masters Programs: Financial Engineering

Curriculum


Starting July 2005, the program requires the completion of 36 credits, of which 18 are required credits and the remaining 18 are elective. The courses will be taken over a 12 month period of full-time studies, starting with a 6 week part I summer session (July 5 - August 12, 2005), continuing through the 2005-2006 academic year and ending with a 6 week Part II summer session (approximately May 22 - June 30, 2006). All courses are for 3 credits, unless stated otherwise.

Summer Part I: 2 Courses (Required Core)
1. SIEO W4606: Stochastic Models for Financial Engineering
2. IEOR E4007: Optimization Models and Methods for Financial Engineering

Fall: 4 Courses (Required Core)
3. IEOR E4403: Advanced Engineering and Corporate Economics
4. IEOR E4703: Monte Carlo Simulation
5. IEOR E4706: Financial Engineering: Discrete-Time Asset Pricing
6. IEOR E4707: Financial Engineering: Continuous-Time Asset Pricing

Spring: 12 Credits Required; at least two courses to be chosen from among the following:
IEOR E4500: Applications Programming for Financial Engineering
IEOR E4708: Topics in Financial Engineering
IEOR E4709: Data Analysis for Financial Engineering
IEOR E4710: Term Structure Models
IEOR E4718: Topics in Derivatives Pricing
IEOR E4731: Credit Risk and Derivatives

Summer Part II: 6 Credits Required
IEOR E4720: Quantitative Issues in Asset Management
IEOR E4721: Modeling Equity Derivatives in Java
IEOR E4722: Mortgage Backed Securities
IEOR E4726: Experimental Finance

A variety of courses are also available from other Departments and Schools at Columbia including the Graduate School of Business, the School of International and Public Affairs, the Departments of Computer Science, Mathematics, Statistics and Economics.