Programming for Financial Engineering

Covers C++ programming language, applications, and features for financial engineering, and quantitative finance applications. Note: restricted to IEOR MS FE students only.

• W 7:10 p.m.-9:40 p.m.
• Instructor: Sebastien Donadio
  Info
• 3 points

Deep Learning for OR and FE

Selected topics of interest in area of quantitative finance. Some topics include energy derivatives, experimental finance, foreign exchange and related derivative instruments, inflation derivatives, hedge fund management, modeling equity derivatives in Java, mortgage-backed securities, numerical solutions of partial differential equations, quantitative portfolio management, risk management, trade and technology in financial markets. Note: open to IEOR students only.

• R 10:10 a.m.-11:25 a.m.
• Instructor: Ali Hirsa
  h-index: 8 Info
• 3 points

Applied Financial Risk Management

Applied Financial Risk Mg

Introduces risk management principles, practical implementation and applications, standard market, liquidity, and credit risk measurement techniques, and their drawbacks and limitations. Note: restricted to IEOR students only.

• TR 2:40 p.m.-3:55 p.m.
• Instructor: Allan M Malz
  CULPA: 1 Info
• 3 points

Financial Engineering Practitioners Semi

FE Seminar Series

Degree requirement for all MSFE first-year students. Topics in Financial Engineering. Past seminar topics include Evolving Financial Intermediation, Measuring and Using Trading Algorithms Effectively, Path-Dependent Volatility, Artificial Intelligence and Data Science in modern financial decision making, Risk-Based Performance Attribution, and Financial Machine Learning. Meets select Monday evenings.

• M 7 p.m.-9 p.m.
• Instructor: Ali Hirsa
  h-index: 8 Info
• 0 points

MASTERS RESEARCH OR PROJECT

Prerequisite(s): Approval by a faculty member who agrees to supervise the work. Independent work involving experiments, computer programming, analytical investigation, or engineering design.

• Instructor: Anish Agarwal
  Info
• Instructor: Shipra Agrawal
  h-index: 24 Info
• Instructor: Eric Balkanski
  h-index: 13 Info
• Instructor: Daniel Bienstock
  h-index: 38 Info
• Instructor: Agostino Capponi
  h-index: 19 Info
• Instructor: Rachel Cummings
  h-index: 16 Info
• Instructor: Antonius B Dieker
  CULPA: 10 h-index: 19 Info
• Instructor: Adam N Elmachtoub
  CULPA: 1 h-index: 13 Info
• Instructor: Yuri Faenza
  h-index: 11 Info
• Instructor: Vineet Goyal
  h-index: 21 Info
• Instructor: Ali Hirsa
  h-index: 8 Info
• Instructor: Anran Hu
  Info
• Instructor: Garud Iyengar
  CULPA: 6 h-index: 30 Info
• Instructor: Hardeep Johar
  Info
• Instructor: Cedric Josz
  CULPA: 2 h-index: 13 Info
• Instructor: Soulaymane Kachani
  CULPA: 12 Info
• Instructor: Yaren Kaya
  Info
• Instructor: Christian Kroer
  h-index: 16 Info
• Instructor: Daniel Lacker
  CULPA: 4 h-index: 13 Info
• Instructor: Henry Lam
  h-index: 17 Info
• Instructor: Fabrizio Lecci
  Info
• Instructor: Tianyi Lin
  Info
• Instructor: Uday Menon
  Info
• Instructor: Bento Natura
  Info
• Instructor: Jay Sethuraman
  CULPA: 10 Info
• Instructor: Karl Sigman
  CULPA: 15 Info
• Instructor: Clifford Stein
  CULPA: 31 Wikipedia h-index: 53 Info
• Instructor: Wenpin Tang
  h-index: 6 Info
• 1-3 points

MASTERS RESEARCH OR PROJECT

Prerequisite(s): Approval by a faculty member who agrees to supervise the work. Independent work involving experiments, computer programming, analytical investigation, or engineering design.

• Instructor: Wenpin Tang
  h-index: 6 Info
• Instructor: Kaizheng Wang
  CULPA: 1 h-index: 8 Info
• Instructor: Lily Xu
  Info
• Instructor: David D Yao
  CULPA: 5 Info
• Instructor: Yi Zhang
  CULPA: 2 Info
• 1-3 points

FIELDWORK

Only for IEOR graduate students who need relevant work experience as part of their program of study. Final reports required. May not be taken for pass/fail credit or audited.

• 1-2 points

FIELDWORK

Only for IEOR graduate students who need relevant work experience as part of their program of study. Final reports required. May not be taken for pass/fail credit or audited.

• 1-2 points

FIELDWORK

Only for IEOR graduate students who need relevant work experience as part of their program of study. Final reports required. May not be taken for pass/fail credit or audited.

• 1-2 points

OPTIMIZATION I

Theory and geometry of linear programming. The simplex method. Duality theory, sensitivity analysis, column generation and decomposition. Interior point methods. Introduction to nonlinear optimization: convexity, optimality conditions, steepest descent, and Newton’s method, active set, and barrier methods.

• TR 10:10 a.m.-11:25 a.m.
• Instructor: Vineet Goyal
  h-index: 21 Info
• 4.5 points

Machine Learning and High-Dimensional Da

Mchn lrning&Hgh-dmntnl da

Discusses recent advances in fields of machine learning: kernel methods, neural networks (various generative adversarial net architectures), and reinforcement learning (with applications in robotics). Quasi Monte Carlo methods in the context of approximating RBF kernels via orthogonal transforms (instances of the structured technique). Will discuss techniques such as TD(0), TD(λ), LSTDQ, LSPI, DQN.

• M 7:10 p.m.-9:40 p.m.
• Instructor: Krzysztof M Choromanski
  Info
• 3 points

STOCHASTIC MODELING I

Advanced treatment of stochastic modeling in the context of queueing, reliability, manufacturing, insurance risk, financial engineering and other engineering applications. Review of elements of probability theory; exponential distribution; renewal theory; Wald’s equation; Poisson processes. Introduction to both discrete and continuous-time Markov chains; introduction to Brownian motion.

• TR 11:40 a.m.-12:55 p.m.
• Instructor: Karl Sigman
  CULPA: 15 Info
• 4.5 points

OPTIMIZATION & SIMULATION BOOTCAMP

• Instructor: Michael Miller
  CULPA: 18 h-index: 14 Info
• 0 points

ADVANCED TOPICS IN IEOR

Diffusion Models AI & RL

Selected topics in IEOR. Content varies from year to year. May be repeated for credit.

• MW 4:10 p.m.-5:25 p.m.
• Instructor: Xunyu Zhou
  h-index: 54 Info
• 3 points

ADVANCED TOPICS IN IEOR

Selected topics in IEOR. Content varies from year to year. May be repeated for credit.

• MW 1:10 p.m.-2:25 p.m.
• TR 11:40 a.m.-12:55 p.m.
• MW 10:10 a.m.-11:25 a.m.
• None None-None
• Instructor: Agostino Capponi
  h-index: 19 Info
• Instructor: Eric Balkanski
  h-index: 13 Info
• Instructor: Christian Kroer
  h-index: 16 Info
• 3 points

RESEARCH

Before registering, the student must submit an outline of the proposed work for approval by the supervisor and the chair of the Department. Advanced study in a specialized field under the supervision of a member of the department staff. May be repeated for credit.

• Instructor: Anish Agarwal
  Info
• Instructor: Shipra Agrawal
  h-index: 24 Info
• Instructor: Eric Balkanski
  h-index: 13 Info
• Instructor: Daniel Bienstock
  h-index: 38 Info
• Instructor: Agostino Capponi
  h-index: 19 Info
• Instructor: Rachel Cummings
  h-index: 16 Info
• Instructor: Antonius B Dieker
  CULPA: 10 h-index: 19 Info
• Instructor: Adam N Elmachtoub
  CULPA: 1 h-index: 13 Info
• Instructor: Yuri Faenza
  h-index: 11 Info
• Instructor: Vineet Goyal
  h-index: 21 Info
• Instructor: Ali Hirsa
  h-index: 8 Info
• Instructor: Anran Hu
  Info
• Instructor: Garud Iyengar
  CULPA: 6 h-index: 30 Info
• Instructor: Hardeep Johar
  Info
• Instructor: Cedric Josz
  CULPA: 2 h-index: 13 Info
• Instructor: Soulaymane Kachani
  CULPA: 12 Info
• Instructor: Yaren Kaya
  Info
• Instructor: Christian Kroer
  h-index: 16 Info
• Instructor: Daniel Lacker
  CULPA: 4 h-index: 13 Info
• Instructor: Henry Lam
  h-index: 17 Info
• Instructor: Fabrizio Lecci
  Info
• Instructor: Tianyi Lin
  Info
• Instructor: Uday Menon
  Info
• Instructor: Bento Natura
  Info
• Instructor: Jay Sethuraman
  CULPA: 10 Info
• Instructor: Karl Sigman
  CULPA: 15 Info
• Instructor: Clifford Stein
  CULPA: 31 Wikipedia h-index: 53 Info
• Instructor: Wenpin Tang
  h-index: 6 Info
• 1-6 points

RESEARCH

Before registering, the student must submit an outline of the proposed work for approval by the supervisor and the chair of the Department. Advanced study in a specialized field under the supervision of a member of the department staff. May be repeated for credit.

• Instructor: Wenpin Tang
  h-index: 6 Info
• Instructor: Kaizheng Wang
  CULPA: 1 h-index: 8 Info
• Instructor: Lily Xu
  Info
• Instructor: David D Yao
  CULPA: 5 Info
• Instructor: Yi Zhang
  CULPA: 2 Info
• Instructor: Xunyu Zhou
  h-index: 54 Info
• Instructor: Winsor Yang
  Info
• 1-6 points