MW 1:10pm–2:25pm
Every section meets at this time.
2 of 2 sections have room
Prerequisites Prerequisites: (IEOR E3106) or (IEOR E4106)
Description
Lect: 3. Prerequisite(s): IEOR E4106 or E3106. Required for undergraduate students majoring in OR:FE. Introduction to investment and financial instruments via portfolio theory and derivative securities, using basic operations research/engineering methodology. Portfolio theory, arbitrage; Markowitz model, market equilibrium, and the capital asset pricing model. General models for asset price fluctuations in discrete and continuous time. Elementary introduction to Brownian motion and geometric Brownian motion. Option theory; Black-Scholes equation and call option formula. Computational methods such as Monte Carlo simulation.
Reviews
Course experience
n=6, 2003–2018
Aggregated across everyone who has taught this course.
Teaching quality
2.8 / 5
Grading fairness
No signal
Workload
No signal
Difficulty
3.7 / 5 · Hard
Overall sentiment
Positive
Would take again
Majority say yes
Sources: CULPA (6)
Sections2
- 53 of 100 seats left
Seat data provenance: Directory as of August 23, 2026 at 4:00 AM
- 99 of 99 seats left
Seat data provenance: Directory as of August 23, 2026 at 4:00 AM
In your week
Workload and grading
- Grading
- Not published
- Format
- Not published
- Credits
- 3 credits
Reported workload
From CULPA and Reddit reviews matched to this course.
No reviews matched yet.