B8306 Fall 2016
Professor Mamaysky
Due Date: Wed, Sep 28
Problem Set 1
PROBLEM SET INSTRUCTIONS
Use the Excel template entitled ps1_template.xlsx for your final answers. Type the names of all
group me
Assignment 4
IEOR 4701  STOCHASTIC MODELS FOR FINANCIAL ENGINEERING (Fall 2016)
Instructor: Prof. Jose Blanchet
Due October 20, 2016  in class
1. Let cfw_X(t) : t 0be a continuous time Markov chain
IEOR E4525: Machine Learning for OR and FE (Spring 2016)
Syllabus and Course Logistics
Instructor: Martin Haugh
332 S.W. Mudd Building
Department of Industrial Engineering and Operations Research
Emai
IEOR E4602 Quantitative Risk Management: Spring 2016
Columbia University
Syllabus and Logistics
Instructor: Martin Haugh
332 S.W. Mudd Building
Department of Industrial Engineering and Operations Rese
Solutions to Assignment 3
IEOR 4701  Stochastic Models for Financial Engineering
1. Gamblers ruin problem.
We have two gamblers, A and B. We toss a coin: if it comes up H, then A pays 1 dollar
to B;
Rsum Guidelines
What is a Rsum?
A rsum is a document which outlines your
experiences and the skills you have acquired as a
result. Preparing your rsum is like starring in your
own commercial. Often,
ALEXANDER M. MATTHEWS
 (540) 9612469

[email protected]
College address: 123 Turner St. N.E. #5, Blacksburg, VA 24060
Permanent address: 4097 Back Creek Rd., Bishopville, MD 21813
OBJECTIVE
Posit
Insights
CTA Trading Styles
Managed futures is an alternative asset
class in which Commodity Trading Advisors
(CTAs) seek to generate returns by trading
futures contracts on financial instruments and
INTERNSHIP PARTNERS 2014
Below are the reported companies who offered students internships during the summer of
2014 (MSFE students graduating in December 2014). Some companies hosted more than
one st
Formatting a Resume
11 Tips & Tools for Creating a WellFormatted Resume
1. Manipulate margins to create a bigger page.
Changing margins to values slightly less than the default settings (i.e. .75 top
There is growing demand for professionals
with rigorous finance training who can also
master specialized technologies. This program
is a response to that demand.
J IANG WANG, M IZUH O F INANCIAL GROU
Matlab Tutorials for IEORE 4701
Fan Zhang
Columbia University
IEOR Department
September 25, 2016
Fan Zhang ([email protected])
Matlab Tutorials (IEORE 4701)
September 25, 2016
1 / 24
Overview
1
Linear Sys
How CTA strategies work: a
guide to managed futures
By Olivier BaumgartnerBezelgues 29 Sep, 2010
Managed futures or Commodity Trading Advisors (CTAs) are back in
fashion as some of the most famous na
On Thinning of Poisson Processes
Thinning
Jose Blanchet
Columbia University.
Department of Statistics,
Department of IEOR.
Blanchet (Columbia)
1/7
Thinning Property
N ( ) is a Poisson process with rat
MiniQuizzes
Lecture #2
Do Not Open!
(dont worry, this will not be graded)
Mathematics & Statistics for Financial Engineering
MiniQuiz #1
1) Express z as a linear combination of ln(x) and ln(y).
= l
MiniQuizzes
Lecture #3
Do Not Open!
(dont worry, this will not be graded)
Mathematics & Statistics for Financial Engineering
MiniQuiz #1
1) Find the solution to the following differential equation.
MiniQuizzes
Lecture #4
Do Not Open!
(dont worry, this will not be graded)
Mathematics & Statistics for Financial Engineering
MiniQuiz #1
1) Assume the weather and change in the S&P 500 are independe
Mathematics and Statistics Review for
Financial Engineering
Michael B. Miller
[email protected]
2016 class schedule:
1.
2.
3.
4.
Wednesday, August 24, 4:006:30 pm
Thursday, August 25, 3:005:30 pm
Why We Have Never Used the Black
ScholesMerton Option Pricing Formula
Espen Gaarder Haug
Nassim Nicholas Taleb
Abstract
Options traders use a pricing formula which they adapt by fudging and changing t
Richard Olsen
How to Trade
ISBN: 9783952370803
Introduction
High frequency finance, with the analysis of tickbytick market data, offers
new insights in how to trade. Before you continue reading,
John Liew, Cliff Asness, David Kabiller, and a team of highpowered Ph.Ds have
built AQR into a $141 billion investment giant that gets impressive returns in
good markets and bad.
(over p lease)
The
SYLLABUS
IEOR E4500 Application Programming for FE
Term: Fall 2013
Department: Industrial Engineering and Operations Research (IEOR)
Instructor: Iraj Kani
TAs: Jiaming Kong, TBD
CAs: Xiaoqian Gui, Fai
IEOR DEPARTMENT COURSE OFFERINGS
FALL 2016
SCHEDULED IS SUBJECT TO CHANGE; PLEASE CHECK DIRECTORY OF CLASSES FOR UP TO DATE INFORMATION.
SUB
DROM
DROM
DROM
DROM
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IEME
IEOR
IEOR
IEOR
IEOR
Big Data in Finance  Syllabus
The vast proliferation of data and increasing technological complexities continue to transform the way
industries operate and compete. Over the last two years, 90 percen
Applied OR
School of
Operations
Research and
Information
Engineering
Master of
Engineering
Student Handbook
Data Analytics
Financial
Engineering
Information
Technology
Manufacturing
Strategic
Operatio