Intro to Financial Engineering
1:10pm–2:25pm
HAVEMEYER HALL HAV 209
Morningside
Seat data provenance: Directory as of August 23, 2026 at 4:00 AM
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)
In your week
Where it meets
Flat map — motion reduced