UNDERGRAD RESEARCH OR PROJECT

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: Christopher J Dolan
  CULPA: 4 Info
• Instructor: Adam N Elmachtoub
  CULPA: 1 h-index: 13 Info
• Instructor: Yuri Faenza
  h-index: 11 Info
• Instructor: Donald Goldfarb
  CULPA: 1 Wikipedia h-index: 55 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: 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
• Instructor: Kaizheng Wang
  CULPA: 1 h-index: 8 Info
• Instructor: David D Yao
  CULPA: 5 Info
• Instructor: Yi Zhang
  CULPA: 2 Info
• Instructor: Xunyu Zhou
  h-index: 54 Info
• 1-3 points

UNDERGRAD RESEARCH OR PROJECT

Independent work involving experiments, computer programming, analytical investigation, or engineering design.

• 1-3 points

FIELDWORK

Final reports are required. This course may not be taken for pass/fail credit or audited.

• 1-2 points

TOPICS IN QUANT FINANCE

AI Applications in Finance

Selected topics of interest in the area of quantitative finance. Offerings vary each year; 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.

• Instructor: Ali Hirsa
  h-index: 8 Info
• 3 points

TOPICS IN QUANT FINANCE

FINANCIAL CORRELATIONS

Stochastic control has broad applications in almost every walk of life, including finance, revenue management, energy, health care and robotics. Classical, model-based stochastic control theory assumes that the system dynamics and reward functions are known and given, whereas modern, model-free stochastic control problems call for reinforcement learning to learn optimal policies in an unknown environment. This course covers model-based stochastic control and model-free reinforcement learning, both in continuous time with continuous state space and possibly continuous control (action) space. It includes the following topics: Shortest path problem, calculus of variations and optimal control; formulation of stochastic control; maximum principle and backward stochastic differential equations; dynamic programming and Hamilton-Jacobi-Bellman (HJB) equation; linear-quadratic control and Riccati equations; applications in high-frequency trading; exploration versus exploitation in reinforcement learning; policy evaluation and martingale characterization; policy gradient; q-learning; applications in diffusion models for generative AI.

• TF 6 p.m.-9 p.m.
• Instructor: Gunter Meissner
  Info
• 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: 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: Christopher J Dolan
  CULPA: 4 Info
• Instructor: Adam N Elmachtoub
  CULPA: 1 h-index: 13 Info
• Instructor: Yuri Faenza
  h-index: 11 Info
• Instructor: Donald Goldfarb
  CULPA: 1 Wikipedia h-index: 55 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: 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
• Instructor: Kaizheng Wang
  CULPA: 1 h-index: 8 Info
• Instructor: David D Yao
  CULPA: 5 Info
• Instructor: Yi Zhang
  CULPA: 2 Info
• Instructor: Xunyu Zhou
  h-index: 54 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.

• 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

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: Christopher J Dolan
  CULPA: 4 Info
• Instructor: Adam N Elmachtoub
  CULPA: 1 h-index: 13 Info
• Instructor: Yuri Faenza
  h-index: 11 Info
• Instructor: Donald Goldfarb
  CULPA: 1 Wikipedia h-index: 55 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: 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