Syllabus - Columbia University Department of IEOR...

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Columbia University Department of IEOR Foundations of Financial Engineering E4706, Summer 2010 TR 11am-1:30pm, 633 Mudd Columbia Course Work Web Page Prof. Steven Kou 312 Mudd Building sk75@columbia.edu Tel: 212-854-4334 Professor’s O ce Hours: TR 1:30pm-3pm TA: TBA TA e-mail: TBA TA O ce Hours: TBA Textbooks : None. Lecture notes will be distributed. Prerequisites : Probability at the level of IEOR E4105. Approximate Schedule Topics 1. July 8 Introduction 2. July 13 Binomial Model: European Options 3. July 15 Binomial Model: American Options 4. July 20 Arbitrage and Risk-Neutral Probability 5. July 22 Complete, Incomplete Markets and Risk-Neutral Pricing Theory 6. July 27 Introduction to Risk Aversion and Portfolio Optimization 7. July 29 Portfolio Optimization: One Period and Multiple Risky Assets 8. Aug 3 Tuesday, Miderm Exam 9. Aug 5 Portfolio Optimization: Mean Variance Analysis 10.Aug 10 Capital Asset Pricing Model (CAPM) 11.Aug 12 Term Stuctures and Interest Derivatives
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Syllabus - Columbia University Department of IEOR...

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