IEOR E Fieldwork. 0 points.

IEOR E2261 Introduction to Accounting and Finance. 3 points.

Lect: 3.

Prerequisites: (ECON UN1105)

For undergraduates only. This course is required for all undergraduate students majoring in IE, OR:EMS, OR:FE and OR. This course examines the fundamental concepts of financial accounting and finance, from the perspective of both managers and investors. Key topics covered in this course include principles of accrual accounting; recognizing and recording accounting transactions; preparation and analysis of financial statements, including balance sheets, income statements, cash flow statements, and statements of owners' equity; ratio analysis; pro-forma projections; time value of money (present values, future values and interest/discount rates); inflation; discounted-cash-flow (DCF) project evaluation methods; deterministic and probabilistic measures of risk; capital budgeting. 

Fall 2017: IEOR E2261
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 2261 001/19101 F 10:10am - 12:40pm
304 Barnard Hall
Anthony Webster 3 116/147
Spring 2018: IEOR E2261
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 2261 001/16213 F 10:10am - 12:40pm
428 Pupin Laboratories
Anthony Webster 3 120/120

IEOR E3106 Introduction to Operations Research: Stochastic Models. 3 points.

Lect: 3.

Prerequisites: (SIEO W3600)

For undergraduates only. This course is required for all undergraduate students majoring in IE, OR:EMS, OR:FE and OR.  This class must be taken during (or before) the fifth semester. Some of the main stochastic models used in engineering and operations research applications: discrete-time Markov chains, Poisson processes, birth-and-death processes, and other continuous Markov chains, renewal-reward processes, Applications: queuing, reliability, inventory, and finance. IEOR E3106 must be completed by the fifth term. Only students with special academic circumstances may be allowed to take these courses in alternative semesters with the consultation of CSA and Departmental advisors.

Fall 2017: IEOR E3106
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 3106 001/11007 T Th 10:10am - 11:25am
313 Fayerweather
Dylan Possamai 3 85/90
IEOR 3106 R01/26700  
3 2/0

IEOR E3402 Production Inventory Planning and Control. 4 points.

Lect: 3. Recit: 1.

Prerequisites: (SIEO W3600) and (IEOR E3608) SIEO W3600:Introduction to Probability and Statistics and IEOR E3608: Introduction to Mathematical Programming.

For undergraduates only. This course is required for all undergraduate students majoring in IE, OR:EMS, OR:FE and OR. This class must be taken during (or before) the sixth semester. This course equips students with knowledge of fundamental issues in production and inventory planning and control in manufacturing firms while developing students' modeling and analytical skills. The course is targeted toward engineering students planning careers in technical consulting, business analysis in operations, logistics, supply-chain and revenue-management functions, positions in general management and future entrepreneurs. The course will cover inventory management and production planning; material requirements planning; aggregate planning of production, inventory, and work force; multi-echelon integrated production-inventory systems; and production scheduling. Students will have an opportunity to participate in a computer-simulation game where, as operations managers for a company, they work in teams to manage capacity, inventories, scheduling, and purchasing of parts. The recitation section is required.

Spring 2018: IEOR E3402
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 3402 001/23566 M W 1:10pm - 2:25pm
209 Havemeyer Hall
Van Anh Truong 4 82/100
IEOR 3402 R01/12305  
4 0/0

IEOR E3608 Foundations of optimization. 4 points.

Lect: 3. Recit: 1.

Prerequisites: (MATH UN2010)
Corequisites: COMS W3134,COMS W3137

For undergraduates only. This course is required for all undergraduate students majoring in IE, OR:EMS, OR:FE and OR. This class must be taken during (or before) the fifth semester. Introduction to mathematical programming models and computational techniques. Linear programming and the simplex method, dynamic programming, implicit enumeration for integer programs; production planning applications. IEOR E3608 must be completed by the fifth term. Only students with special academic circumstances may be allowed to take these courses in alternative semesters with the consultation of CSA and Departmental advisors. Recitation section required.

Fall 2017: IEOR E3608
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 3608 001/68467 T Th 4:10pm - 5:25pm
303 Seeley W. Mudd Building
Jay Sethuraman 4 87/86
IEOR 3608 R01/76114  
4 0/0

IEOR E3609 Advanced optimization. 3 points.

Lect: 3.

For undergraduates only. This course is required for all undergraduate students majoring in IE, OR:EMS, OR:FE and OR. 

IEOR E3658 Probability for engineers. 3 points.

Lect: 3.

Prerequisites: Solid knowledge of calculus, including multiple variable integration.

For undergraduates only. This course is required for the OR:FE concentration. This class must be taken during (or before) the third semester. Students who take IEOR E3658 may not take SIEO W3600 or W4150 due to significant overlap. This is an introductory course to probability theory, and does not assume any prior knowledge of the subject. The course aims to teach students the foundations required to use probability in applications, but the course itself is theoretical in nature. The content and pace of the course is best suited for students (undergraduates) with strong mathematical skills. The course begins with the basic definitions and axioms of probability and then introduces the notions of independence and conditional probability. The majority of the course focuses on random variables, both continuous and discrete, and covers the topics of expectation, variance, conditional distributions, conditional expectation and variance, and moment generating functions. The course ends with the Central Limit Theorem for sums of random variables. The method of instruction consists of lectures, recitations, weekly homework, and in-class exams.

Fall 2017: IEOR E3658
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 3658 001/62231 M W 1:10pm - 2:25pm
209 Havemeyer Hall
Antonius Dieker 3 104/110
IEOR 3658 R01/68999 F 9:00am - 10:00am
203 Mathematics Building
3 0/0

IEOR E3900 Undergraduate Research or Project. 1-3 points.

Prerequisites: approval by a faculty member who agrees to supervise the work.

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

Summer 2017: IEOR E3900
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 3900 001/25946  
Shipra Agrawal 1-3 0/20
IEOR 3900 002/25947  
Daniel Bienstock 1-3 0/20
IEOR 3900 003/25948  
Jose Blanchet 1-3 0/20
IEOR 3900 004/25996  
Agostino Capponi 1-3 0/20
IEOR 3900 005/25997  
Antonius Dieker 1-3 0/20
IEOR 3900 006/25998  
Emanuel Derman 1-3 0/20
IEOR 3900 007/25999  
Adam Elmachtoub 1-3 0/20
IEOR 3900 008/26000  
Yuri Faenza 1-3 0/20
IEOR 3900 009/26046  
Guillermo Gallego 1-3 0/20
IEOR 3900 010/26047  
Donald Goldfarb 1-3 0/20
IEOR 3900 011/26048  
Vineet Goyal 1-3 0/20
IEOR 3900 013/26050  
Garud Iyengar 1-3 0/20
IEOR 3900 014/26097  
hardeep Johar 1-3 0/20
IEOR 3900 015/26098  
Soulaymane Kachani 1-3 0/20
IEOR 3900 016/26099  
Jay Sethuraman 1-3 0/20
IEOR 3900 017/26100  
Karl Sigman 1-3 0/20
IEOR 3900 018/26101  
Clifford Stein 1-3 0/20
IEOR 3900 019/26102  
Van Anh Truong 1-3 0/20
IEOR 3900 020/26148  
Ward Whitt 1-3 0/20
IEOR 3900 021/26149  
David Yao 1-3 0/20
IEOR 3900 022/26150  
Xunyu Zhou 1-3 0/20
IEOR 3900 023/26151  
Jenny Mak 1-3 0/20
Fall 2017: IEOR E3900
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 3900 001/21456  
Shipra Agrawal 1-3 0/20
IEOR 3900 002/11177  
Daniel Bienstock 1-3 0/20
IEOR 3900 003/23166  
Henry Lam 1-3 0/20
IEOR 3900 004/16379  
Agostino Capponi 1-3 0/20
IEOR 3900 005/70489  
Antonius Dieker 1-3 0/20
IEOR 3900 006/27661  
Emanuel Derman 1-3 0/20
IEOR 3900 007/16732  
Adam Elmachtoub 1-3 0/20
IEOR 3900 008/71689  
Yuri Faenza 1-3 0/20
IEOR 3900 009/23271  
Dylan Possamai 1-3 0/20
IEOR 3900 010/19851  
Donald Goldfarb 1-3 0/20
IEOR 3900 011/24017  
Vineet Goyal 1-3 0/20
IEOR 3900 012/69855  
Garud Iyengar 1-3 0/20
IEOR 3900 013/71433  
hardeep Johar 1-3 0/20
IEOR 3900 014/11350  
Soulaymane Kachani 1-3 0/20
IEOR 3900 015/60343  
Jay Sethuraman 1-3 0/20
IEOR 3900 016/67014  
Karl Sigman 1-3 1/20
IEOR 3900 017/70642  
Clifford Stein 1-3 0/20
IEOR 3900 018/71919  
Van Anh Truong 1-3 0/20
IEOR 3900 019/14803  
Daniel Lacker 1-3 0/20
IEOR 3900 020/16993  
David Yao 1-3 0/20
IEOR 3900 021/12030  
Xunyu Zhou 1-3 0/20
IEOR 3900 022/27948  
Ali Hirsa 1-3 0/20
IEOR 3900 023/12998  
Jenny Mak 1-3 0/20
Spring 2018: IEOR E3900
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 3900 001/20943  
Shipra Agrawal 1-3 0/10
IEOR 3900 002/20062  
Daniel Bienstock 1-3 0/10
IEOR 3900 003/15160  
Agostino Capponi 1-3 0/10
IEOR 3900 004/26833  
Emanuel Derman 1-3 0/10
IEOR 3900 005/76928  
Antonius Dieker 1-3 0/10
IEOR 3900 006/22832  
Adam Elmachtoub 1-3 0/10
IEOR 3900 007/74242  
Yuri Faenza 1-3 0/10
IEOR 3900 008/68680  
Donald Goldfarb 1-3 0/10
IEOR 3900 009/10473  
Vineet Goyal 1-3 0/10
IEOR 3900 010/25151  
Ali Hirsa 1-3 0/10
IEOR 3900 011/69393  
Garud Iyengar 1-3 0/10
IEOR 3900 012/15857  
hardeep Johar 1-3 0/10
IEOR 3900 013/73087  
Soulaymane Kachani 1-3 1/10
IEOR 3900 014/69797  
Daniel Lacker 1-3 0/10
IEOR 3900 015/75795  
Henry Lam 1-3 0/10
IEOR 3900 016/15379  
Dylan Possamai 1-3 0/10
IEOR 3900 017/64157  
Jay Sethuraman 1-3 0/10
IEOR 3900 018/10916  
Karl Sigman 1-3 0/10
IEOR 3900 019/77080  
Clifford Stein 1-3 0/10
IEOR 3900 020/17176  
Van Anh Truong 1-3 0/10
IEOR 3900 021/25659  
Ward Whitt 1-3 0/10
IEOR 3900 022/20156  
David Yao 1-3 0/10
IEOR 3900 023/75667  
Xunyu Zhou 1-3 0/10
IEOR 3900 024/61583  
Jenny Mak 1-3 0/10

IEOR E4000 Operations Management. 3 points.

Lect: 3.

Prerequisites: Probability theory and linear programming.

Required course for MSIE. An introduction to production management for students not having an industrial engineering bachelor's degree. Topics include deterministic inventory models, aggregate production planning, material requirements planning, forecasting, stochastic inventory models and supply chain management. Emphasis on modeling and its implications for managerial decisions.

Fall 2017: IEOR E4000
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4000 001/71315 T Th 8:40am - 9:55am
407 International Affairs Bldg
Van Anh Truong 3 23/60
IEOR 4000 R01/22501 F 11:00am - 12:00pm
227 Seeley W. Mudd Building
3 0/0

IEOR E4001 Design and Management of Production and Service Systems. 3 points.

Lect: 3.

Prerequisites: (IEOR E4000) or (IEOR E3402)

This course is required for undergraduate students majoring in OR:EMS. Design and management problems in production and service systems: process design and capacity management, inventory system design and management, aggregate planning, staff scheduling, and quality control system design. 

IEOR E4003 Corporate finance for engineers. 3 points.

Lect: 3.

This course is required for all undergraduate students majoring in IE, OR:EMS, OR:FE and OR. Introduction to the economic evaluation of industrial projects. Economic equivalence and criteria. Deterministic approaches to economic analysis. Multiple projects and constraints. Analysis and choice under risk and uncertainty. 

Fall 2017: IEOR E4003
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4003 001/16749 Th 7:00pm - 9:30pm
833 Seeley W. Mudd Building
Maya Waisman 3 95/120

IEOR E4004 Optimization models and methods. 3 points.

Lect: 3.

This graduate course is only for MS&E, IE and OR students.  This is also required for students in the Undergraduate Advanced Track. For students who have not studied linear programming. Some of the main methods used in IEOR applications involving deterministic models: linear programming, the simplex method, nonlinear, integer and dynamic programming. 

Fall 2017: IEOR E4004
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4004 001/66088 M W 11:40am - 12:55pm
1127 Seeley W. Mudd Building
Shipra Agrawal 3 81/90
IEOR 4004 002/69314 T Th 11:40am - 12:55pm
501 Northwest Corner
Daniel Bienstock 3 140/150
IEOR 4004 003/17798 T Th 4:10pm - 5:25pm
501 Northwest Corner
Yuri Faenza 3 96/150
IEOR 4004 R01/73940 Sa 11:00am - 1:00pm
501 Schermerhorn Hall
3 0/0
IEOR 4004 R02/15064 F 9:00am - 10:00am
312 Mathematics Building
3 0/90
IEOR 4004 R03/22138  
3 0/90
Spring 2018: IEOR E4004
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4004 001/20641 M W 1:10pm - 2:25pm
633 Seeley W. Mudd Building
Daniel Bienstock 3 0/60
IEOR 4004 R01/74040 F 9:00am - 10:00am
Room TBA
3 0/0

IEOR E4007 Optimization Models and Methods for Financial Engineering. 3 points.

Lect: 3.

Prerequisites: Linear algebra.

This graduate course is only for MS Program in FE students. Linear, quadratic, nonlinear, dynamic, and stochastic programming. Some discrete optimization techniques will also be introduced. The theory underlying the various optimization methods is covered. The emphasis is on modeling and the choice of appropriate optimization methods. Applications from financial engineering are discussed. 

Fall 2017: IEOR E4007
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4007 001/76544 M W 8:40am - 9:55am
614 Schermerhorn Hall
Garud Iyengar 3 99/120
IEOR 4007 R01/68264 F 10:30am - 12:00pm
833 Seeley W. Mudd Building
3 0/0

IEOR E4009 Non-linear optimization. 3 points.

Lect.: 2.5.Not offered during 2017-18 academic year.

Prerequisites: A course on optimization models and methods (at the level of IEOR 4004) and a course on linear algebra.

Covers unconstrained and constrained nonlinear optimization involving continuous functions. Additionally, fundamental concepts such as optimality conditions and convergence, principal focus on practical optimization methods. 

IEOR E4100 Probability models for MSE. 1 point.

Lect: 2.5.Not offered during 2017-18 academic year.

Prerequisites: Understanding of single- and multi-variable calculus.

Basic probability theory, including independence and conditioning, discrete and continuous random variable, law of large numbers, central limit theorem, and stochastic simulation, basic statistics, including point and interval estimation, hypothesis testing, and regression; examples from business applications such inventory management, medical treatments, and finance. This course is a specialized version of IEOR E4150 for MSE students who are exempt from the first half of IEOR E4101. 

IEOR E4101 Probability Models For Management Science and Engineering. 3 points.

Prerequisites: Must be registered in the Management Science and Engineering (MSE) MS Program

This course is about making sense of data and uncertainty. We will learn how to understand data, visualize data, come up with sound statistical models of data, and reason probabilistically about these models. The mathematical content will be at a level that is comparable to SIEO 4150, but the approach will be more hands-on, and the topics will be illustrated through interesting paradoxes and numerous business examples. (The course was formerly IEOR E4575)

Fall 2017: IEOR E4101
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4101 001/72907 T Th 5:40pm - 6:55pm
602 Hamilton Hall
Henry Lam 3 71/76
IEOR 4101 R01/71648  
3 0/0

IEOR E4102 Stochastic Models for Management Science and Engineering. 3 points.

Prerequisites: IEOR E4101

Introduction to stochastic processes and model, with emphasis on applications to engineering and management; random walks, gambler's ruin problem, Markov chains in both discrete and continuous time, Poisson processes, renewal processes, stopping times, Wald's equation, binomial lattice model for pricing risky assets, simple option pricing; simulation of simple stochastic processes, Brownian motion, and geometric Brownian motion. This course is a specialized version of IEOR E4106 for MSE students. 

Spring 2018: IEOR E4102
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4102 001/69914 T Th 11:40am - 12:55pm
717 Hamilton Hall
Karl Sigman 3 57/85

IEOR E4106 Stochastic Models. 3 points.

Lect: 3.

Prerequisites: (STAT GU4001)

This graduate course is only for MS&E, IE and OR students. This is also required for students in the Undergraduate Advanced Track. Some of the main stochastic models used in engineering and operations research applications: discrete-time Markov chains, Poisson processes, birth-and-death processes, and other continuous Markov chains, renewal reward processes. Applications: queueing, reliability, inventory, and finance.

Fall 2017: IEOR E4106
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4106 001/24164 M W 1:10pm - 2:25pm
501 Schermerhorn Hall
David Yao 3 153/180
IEOR 4106 R01/75459 F 10:30am - 11:45am
428 Pupin Laboratories
3 0/0
Spring 2018: IEOR E4106
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4106 001/12024 T Th 5:40pm - 6:55pm
207 Mathematics Building
Karl Sigman 3 65/150
IEOR 4106 R01/19353 F 10:00am - 11:00am
Room TBA
3 0/0

IEOR E4111 Operations Consulting. 3 points.

Prerequisites: Probability and Statistics at the level of SIEO W3600 or SIEO W4150, and Deterministic Models at the level of IEOR E3608 or IEOR E4004, or instructor permission.

This course is for MS-MS&E students only. This course aims to develop and harness the modeling, analytical and managerial skills of engineering students and apply them to improve the operations of both service and manufacturing firms. The course is structured as a hands-on laboratory in which students "learn by doing" on real-world consulting projects (October to May). The student teams focus on identifying, modeling and testing (and sometimes implementing) operational improvements and innovations with high potential to enhance the profitability and/or achieve sustainable competitive advantage for their sponsor companies. The course is targeted toward students planning careers in technical consulting (including operations consulting) and management consulting, or pursuing positions as business analysts in operations, logistics, supply chain and revenue management functions, positions in general management and future entrepreneurs.

Fall 2017: IEOR E4111
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4111 001/60009 Th 7:10pm - 9:40pm
501 Northwest Corner
Soulaymane Kachani 3 82/90
Spring 2018: IEOR E4111
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4111 001/62985 Th 7:10pm - 9:40pm
501 Northwest Corner
Soulaymane Kachani 3 0/85

IEOR E4150 Introduction to probability and statistics. 3 points.

Lect: 3.Not offered during 2017-18 academic year.

Prerequisites: Calculus, including multiple integration.

Course covers the following topics: fundamentals of probability theory and statistical inference used in engineering and applied science; probabilistic models, random variables, useful distributions, expectations, law of large numbers, central limit theorem; statistical inference: pint and confidence interval estimation, hypothesis tests, linear regression. For IEOR graduate students. 

Fall 2017: IEOR E4150
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4150 001/77192 M W 11:40am - 12:55pm
501 Schermerhorn Hall
Antonius Dieker 3 126/180

IEOR E4205 Studies in Operations Research. 3 points.

Lect: 3.

Prerequisites: (IEOR E3608) or (IEOR E4004) and (IEOR E3106) or (IEOR E4106) or instructor's permission.

Applications of operations research models in practice; examples of successful projects; discussion of difficulties in applying operations research techniques in practice; understanding the factors leading to successful applications. Students will be required to do a project that may involve the following: project management and budgeting, contract preparation, change-order negotiations, progress reporting, organizational and personal dynamics, client communications and relationships, and presentation skills.

IEOR E4207 Human Factors: Performance. 3 points.

Lect: 3.

Prerequisites: Refer to course syllabus.

This course is required for undergraduate students majoring in IE. This course provides a survey of human performance engineering in the design of consumer products, user interfaces and work processes. The goal of the course is to provide the student with the ability to specify human performance variables affecting user performance, safety and satisfaction for a variety of products and task requirements. Topics include task analysis, information processing, anthropometry, control and display design, human computer interaction, usability testing, usability cost/ benefit analysis, forensics, motivation, group dynamics and personnel selection. Course requirements include a research paper and a (group) product redesign project. At the end of the course students will have a deeper understanding of the research and psychological principles underlying human performance capabilities and limitations. The hope is that this course will encourage students to become more of "a user advocate" in their future endeavors.

Fall 2017: IEOR E4207
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4207 001/15405 M 4:10pm - 6:40pm
516 Hamilton Hall
Leon Gold 3 41/50

IEOR E4208 Seminar in Human Factors Design. 3 points.

Lect: 3.

Prerequisites: (IEOR E4207) or IEOR E4207: Human Factors: Performance or the instructor's permission.

This course is an elective undergraduate students majoring in IE. This course is an advance seminar in the field of human factors. A significant part of the course will explore methodologies and tools that facilitate the integration of psychological and human factor research in the design of new products and processes. The first part of the seminar will discuss methodological issues associated with human factor research and product evaluation. The second part of the seminary will address specific "user centered" methodologies (ISO, ANSI) that support the design process. The third part of the course will explore alternative product evaluation techniques. Students will be required to critique scientific research articles in class, and to perform a usability evaluation of a redesigned product. This is a seminar and therefore class participation is important. The opportunity to pursue individual interests in human factors (e.g. consumer, financial and medical product design, human computer interaction, stress, error analysis, usability evaluation, augmented cognition) is strongly encouraged.

Spring 2018: IEOR E4208
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4208 001/16002 M 4:10pm - 6:40pm
227 Seeley W. Mudd Building
Leon Gold 3 18/40

IEOR E4307 Statistics and data analysis. 3 points.

Lect: 3.

Prerequisites: Probability, linear algebra.

Descriptive statistics, central limit theorem, parameter estimation, sufficient statistics, hypothesis testing, regression, logistic regression, goodness-of-fit tests, applications to operations research models.

Spring 2018: IEOR E4307
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4307 001/75008 M W 2:40pm - 3:55pm
Room TBA
Antonius Dieker 3 69/120

IEOR E4403 Quantitative corporate finance. 3 points.

Lect: 3.

Prerequisites: Probability theory and linear programming.

This course is required for students in the Undergraduate Advanced Track. Key measures and analytical tools to assess the financial performance of a firm and perform the economic evaluation of industrial projects and businesses. Deterministic mathematical programming models for capital budgeting. Concepts in utility theory, game theory and real options analysis. 

Fall 2017: IEOR E4403
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4403 001/27777 W 4:10pm - 6:40pm
329 Pupin Laboratories
Rodney Sunada-Wong 3 80/100

IEOR E4404 Simulation. 4 points.

Lect: 3. Recit: 1.

Prerequisites: (SIEO W3600) or (STAT GU4001) and computer programming.
Corequisites: IEOR E3106,IEOR E4106

This course is required for all undergraduate students majoring in IE, OR:EMS, OR:FE and OR. This course is also required for MSIE and MSOR. Graduate students must register for 3 points. Undergraduate students must register for 4 points. Generation of random numbers from given distributions; variance reduction; statistical output analysis; introduction to simulation languages; application to financial, telecommunications, computer, and production systems. Students who have taken IEOR E4703 Monte Carlo simulation may not register for this course for credit. Recitation section required.

Fall 2017: IEOR E4404
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4404 001/27552 T Th 5:40pm - 6:55pm
501 Northwest Corner
Soumyadip Ghosh 4 141/164
IEOR 4404 R01/25434  
4 0/0
Spring 2018: IEOR E4404
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4404 001/20109 M W 5:40pm - 6:55pm
501 Northwest Corner
4 120/120
IEOR 4404 R01/27725 F 11:00am - 12:00pm
Room TBA
4 0/0

IEOR E4405 Scheduling. 3 points.

Lect: 3.

Prerequisites: (SIEO W3600) and (IEOR E3608) and computer programming.

This course is required for undergraduate students majoring in IE and OR. Job shop scheduling: parallel machines, machines in series; arbitrary job shops. Algorithms, complexity, and worst-case analysis. Effects of randomness: machine breakdowns, random processing time. Term project. 

Spring 2018: IEOR E4405
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4405 001/77416 T Th 4:10pm - 5:25pm
833 Seeley W. Mudd Building
Clifford Stein 3 51/100

IEOR E4407 Game Theoretic Models of Operations. 3 points.

Lect: 3.

Prerequisites: (IEOR E4004) or (IEOR E3608) and (IEOR E4106) or (IEOR E3106) and familiarity with differential equations and computer programming; or instructor's permission.

This course is required for undergraduate students majoring in OR:FE and OR. A mathematically rigorous study of game theory and auctions, and their application to operations management. Topics include introductory game theory, private value auction, revenue equivalence, mechanism design, optimal auction, multiple-unit auctions, combinatorial auctions, incentives, and supply chain coordination with contracts. No previous knowledge of game theory is required.

Fall 2017: IEOR E4407
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4407 001/11759 T Th 10:10am - 11:25am
717 Hamilton Hall
Vineet Goyal 3 57/86
IEOR 4407 R01/16623  
3 0/0

IEOR E4408 Resource Allocation: Models, Algorithms, and Applications. 3 points.

Lect: 3.Not offered during 2017-18 academic year.

Prerequisites: (IEOR E3608) or (IEOR E4004) and basic knowledge of nonlinear and integer programming.

Overview of resource allocation models. Single resource allocation with concave returns; equitable resource allocation; lexicographic minmax/maxmin optimization; extensions to substitutable resources; multi-period resource allocation; equitable allocation in multicommodity network flow models; equitable content distribution in networks; equitable resource allocation with discrete decision variables. 

IEOR E4412 Quality Control and Management. 3 points.

Lect: 3.

Prerequisites: (SIEO W3600) or (STAT GU4001)

This course is required for undergraduate students majoring in IE. Statistical methods for quality control and improvement: graphical methods, introduction to experimental design and reliability engineering and the relationships between quality and productivity. Contemporary methods used by manufacturing and service organizations in product and process design, production and delivery of products and service. 

Spring 2018: IEOR E4412
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4412 001/26370 M W 5:40pm - 6:55pm
313 Fayerweather
Sufian Ikhmeis 3 18/70

IEOR E4418 Transportation analytics and logistics. 3 points.

Lect: 3.

Prerequisites: (IEOR E3608 or IEOR E4404 or IEOR E4007 or CSOR W4231 or CSOR W4246) and (IEOR E3106 or IEOR E4307 or SIEO W3600 or IEOR E4100 or IEOR E4101 or IEOR E4150 or STAT GR5701 or STAT GR5703) or permission of instructor.

Transportation, primarily focused on the movement of people, and logistics, primarily focused on the movement of goods, are two of the most fundamental challenges to modern society. To address many problems in these areas, a wide array of mathematical models and analytics tools have been developed. This class will introduce many of the foundational tools used in transportation and logistics problems, relying on ideas from linear optimization, integer optimization, stochastic processes, statistics, and simulation. We will address problems such as optimizing the routes of cars and delivery trucks, positioning emergency vehicles, and controlling traffic behavior. Moreover, we will discuss modern issues such as bicycle sharing, on-demand car and delivery services, and humanitarian logistics. Concepts will be reinforced with technical content as well as real-world data and examples. Prerequisites: A course in probability/statistics (e.g., IEOR 3106, IEOR 4307, SIEO 3600, IEOR 4100, IEOR 4101, IEOR 4150, STAT 5701, STAT 5703). A course in optimization (e.g., IEOR 3608, IEOR 4004, IEOR 4007, CSOR 4231, CSOR 4246).

Spring 2018: IEOR E4418
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4418 001/73932 M W 10:10am - 11:25am
310 Fayerweather
Adam Elmachtoub 3 60/85

IEOR E4500 Applications Programming for Financial Engineering. 3 points.

Lect: 3.

Prerequisites: Computer programming or instructor's approval.

This course is required for undergraduate students majoring in OR:FE. In this course we will take a hands-on approach to developing computer applications for Financial Engineering. Special focus will be placed on high-performance numerical applications that interact with a graphical interface. In the course of developing such applications we will learn how to create DLLs, how to integrate VBA with C/C++ programs, and how to write multithreaded programs. Examples of problems settings that we will consider include: simulation of stock price evolution, tracking, evaluation and optimization of a stock portfolio; optimal trade execution. In the course of developing these applications we will review topics of interest to OR/FE in a holistic fashion.

Fall 2017: IEOR E4500
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4500 001/74836 T Th 5:40pm - 6:55pm
202 Altschul Hall
Daniel Bienstock 3 119/240
IEOR 4500 R01/21141  
3 0/0

IEOR E4505 Operations Research in Public Policy. 3 points.

Prerequisites: (IEOR E3608) or (IEOR E4004) and (IEOR E3106) or (IEOR E4106)

This course aims to give the student a broad overview of the role of Operations Research in public policy. The specific areas covered include voting theory; apportionment; deployment of emergency units; location of hazardous facilities; health care; organ allocation; management of natural resources; energy policy; and aviation security. The course will draw on a variety techniques such as linear and integer programming, statistical and probabilistic methods, decision analysis, risk analysis, and analysis & control of dynamic systems.

IEOR E4507 Healthcare operations management. 3 points.

Not offered during 2017-18 academic year.

Prerequisites: For senior undergraduate Engineering students: SIEO W3600: Introduction to Probability and Statistics and IEOR E3608: Introduction to Mathematical Programming; For Engineering graduate students (MS or PhD): Probability and Statistics at the level of SIEO W4150, and Deterministic Models at the level of IEOR E4004. For Healthcare Management students: P8529: Analytic Methods for Health Services Management.

Develops modeling, analytical and managerial skills of Engineering students. Enables students to master an array of fundamental Operations Management tools adapted to the management of manufacturing and service systems in banks, hospitals, factories, and government. Special emphasis is placed on healthcare systems. Through real-world business cases, students learn to identify, model and analyze operational improvements and innovations in a range of business contexts, especially healthcare contexts.

IEOR E4510 Project Management. 3 points.

Lect: 3.

Prerequisites: (IEOR E4004) or (IEOR E3608)

Management of complex project and the tools that are available to assist managers with such projects. Topics include project selection, project teams and organizational issues, project monitoring and control, project risk management, project resource management, and managing multiple projects. 

Spring 2018: IEOR E4510
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4510 001/68328 W 7:10pm - 9:40pm
833 Seeley W. Mudd Building
Moshe Rosenwein 3 100/100

IEOR E4520 Applied Systems Engineering. 3 points.

Lect: 3.Not offered during 2017-18 academic year.

Prerequisites: B.S. in Engineering or Applied Sciences; Professional experience recommended; Calculus, Probability and Statistics, Linear Algebra.

Introduction to fundamental methods used in Systems Engineering. Rigorous process that translates customer needs into a structured set of specific requirements; synthesizes a system architecture that satisfies those requirements; and allocates them in a physical system, meeting cost, schedule, and performance objectives throughout the product life-cycle. Sophisticated modeling of requirements optimization and dependencies, risk management, probabilistic scenario scheduling, verification matrices, and systems-of-systems constructs are synthesized to define the meta-work flow at the top of every major engineering project.

Summer 2017: IEOR E4520
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4520 D01/68498  
Ebad Jahangir 3 6
Fall 2017: IEOR E4520
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4520 001/68118 W 4:10pm - 6:40pm
545 Seeley W. Mudd Building
Ebad Jahangir 3 21/70

IEOR E4522 Python for Operations Research. 1 point.

Lect: 1.5.Not offered during 2017-18 academic year.

IEOR Students Only; Priority to MSOR Students. Introduction to programming in Python, providing a working knowledge of how to use Python to extract knowledge and information from data. Overview of Python libraries for data analysis. Fundamental course for MSOR students in order to engage in higher level analytics courses.

Fall 2017: IEOR E4522
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4522 001/10781 T 7:00pm - 9:30pm
501 Northwest Corner
Paul Bulkley-Logston 1 112/164
IEOR 4522 002/84030 T 1:10pm - 3:40pm
313 Fayerweather
Paul Bulkley-Logston 1 43/78

IEOR E4523 Data Analytics for Operations Research. 3 points.

Lect: 3.Not offered during 2017-18 academic year.

Corequisites: IEOR E4522

IEOR Students Only; Priority to MSOR Students. Survey tools available in Python for getting, cleaning, and analyzing data. Obtain data from files (csv, html, json, xml) and databases (Mysql, PostgreSQL, NoSQL), cover the rudiments of data cleaning, and examine data analysis, machine learning and data visualization packages (numpy, Pandas, Scikit­learn, bokeh) available in Python. Brief overview of natural language processing, network analysis, and big data tools available in Python. Contains a group project component that will require students to gather, store, and analyze a data set of their choosing.

Fall 2017: IEOR E4523
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4523 001/63396 M 8:40am - 11:10am
545 Seeley W. Mudd Building
hardeep Johar 3 68/80
IEOR 4523 002/72196 W 8:40am - 11:10am
602 Hamilton Hall
Yair Avgar 3 51/86

IEOR E4524 Industry Projects in Analytics. 3 points.

Lect: 3.Not offered during 2017-18 academic year.

Prerequisites: (IEOR E4523) or equivalent and concurrent registration in either Data Mining or Machine Learning.

MSOR Students Only. Groups of students will work on real world projects in analytics, focusing on three aspects: identifying client analytical requirements; assembling, cleaning and organizing data; identifying and implementing analytical techniques (statistics, OR, machine learning); and delivering results in a client friendly format. Each project has a well defined goal, come with the sources of data pre¬-identified, and have been structured so that they can be completed in one semester. This is a client facing class with numerous on-site client visits; students should keep their Fridays clear for this purpose.

IEOR E4550 Entrepreneurial Business Creation for Engineers. 3 points.

Lect: 3.

Prerequisites: (IEOR E2261)

This course is required for undergraduate students majoring in OR:EMS. Introduce basic concepts and methodologies that are used by the nonengineering part of the world in creating, funding, investing in, relating to, and operating entrepreneurial ventures. The first half of the course focuses on the underpinning principles and skills required in recognizing, analyzing, evaluating, and nurturing a business idea.The second half focuses on basic legal knowledge necessary in creating a business entity, defending your business assets, and in promoting effective interaction with other individuals and organizations. 

Fall 2017: IEOR E4550
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4550 001/67222 M 4:10pm - 6:40pm
545 Seeley W. Mudd Building
David Gulley 3 39/70

IEOR E4555 Design and Agile Project Management Engineering Lab. 3 points.

Lect: 3.Not offered during 2017-18 academic year.

An intensive, team and project­-based seminar in which students will learn: (1) a multi-­disciplinary approach to evidence ­based product design;(2) agile project planning and execution; (3) rapid MVP prototyping; and (4) launch strategy formulation and implementation. Focuses on the practical use of design thinking, design studio, and iterative design sprint methodologies. Systematic approach to Lean User Research, User Experience (UX), and User Interface (UI) design and deployment are integral components of the course curriculum. Mix of startup and enterprise projects that are either application ­drive, data­ driven, or a combination of both. Teams are fully supported in devising prototypes and actualizing their proposed solutions. Note: This course is by application only.

Fall 2017: IEOR E4555
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4555 001/27897 W 4:10pm - 6:40pm
313 Fayerweather
Amir Farrokhnia 3 32/80

IEOR E4561 Launch Your Startup. 3 points.

Lect: 3.Not offered during 2017-18 academic year.

Tools and knowledge to develop a comprehensive new venture that is scalable, repeatable and capital efficient. Covering customer discovery, market sizing, pricing, competition, distribution, funding, developing a minimal viable product and other facets of creating a new ventures. A company blueprint and final investor pitch are deliverables. 

Spring 2018: IEOR E4561
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4561 001/60901 Th 2:15pm - 5:30pm
717 Hamilton Hall
Owen Davis 3 0/60

IEOR E4572 Data Analytics for Operations Research. 3 points.

Lect: 3.

Prerequisites: Mathematical and scientific programming. Data visualization. Introduction to analysis of social networks using computational techniques in network analysis and natural language processing. BS IEOR Program students only.

Fall 2017: IEOR E4572
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4572 001/84530 M W 2:40pm - 3:55pm
517 Hamilton Hall
hardeep Johar 3 14/80

IEOR E4573 Topics in Operations Research: Computational Discrete Optimization. 3 points.

Discrete optimization is a powerful tool for modelling a wide range of problems in science, engineering, and many other areas of technological everyday life. As the name suggests, it deals with problems where the decisions to be made are discrete, for instance: which cities should be connected with a road, how many airplanes should we build, or to whom should a highly-requested job be given. In this course, you will be introduced to those problems and to different techniques for solving them. We will study these techniques mathematically and test their strengths and limits in practice on relevant applications using state-of-the-art solvers. We will focus in particular on transportation (travelling salesman and vehicle routing) and matching (school allocation) problems. We will also see discrete optimization problems that appear in Machine Learning contexts.

Spring 2018: IEOR E4573
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4573 001/66178 M W 11:40am - 12:55pm
702 Hamilton Hall
Yuri Faenza 3 24/80

IEOR E4577 Intellectual property for entrepreneurs and managers. 0 points.

Lect: 3.Not offered during 2017-18 academic year.

An overview of commercial opportunities in intellectual property, with a focus on technology patents for the business or tech entrepreneur.

IEOR E4578 Professional Development for Management Science & Engineering. 0 points.

Prerequisites: Must be registered in the Management Science and Engineering (MSE) MS Program

Students will engage, learn and share their experiences in order to make meaning of professional development. The instructional team hopes that the students will obtain the following: -Gain familiarity and insight to the US job market and US career culture; recognize the skills necessary to compete effectively. -Increase student professional intelligence, develop own professional self and identify developmental needs. -Obtain information on employment trends, resources and networking opportunities. -Refine resume writing, interviewing, and job search skills. -Establish a collaborative relationship with the instructional team and provide constructive feedback where appropriate to enhance the student's professional development.

Spring 2018: IEOR E4578
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4578 001/72786 T 7:10pm - 9:40pm
Room TBA
Paul Bulkley-Logston 0 25/70

IEOR E4579 Professional Development for Industrial Engineering & Operations Research. 0 points.

Students will engage, learn and share their experiences in order to make meaning of professional development. The instructional team hopes that the students will obtain the following: gain familiarity and insight to the US job market and US career culture; recognize the skills necessary to compete effectively; increase student professional intelligence, develop own professional self and identify developmental needs; obtain information on employment trends, resources and networking opportunities; refine resume writing, interviewing, and job search skills; establish a collaborative relationship with the instructional team and provide constructive feedback where appropriate to enhance the student's professional development.

Spring 2018: IEOR E4579
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4579 001/88954 M T W Th 1:00pm - 5:00pm
834 Seeley W. Mudd Building
0 0/40

IEOR E4600 Applied Integer Programming. 3 points.

Lect: 3.

Prerequisites: Linear programming, linear algebra, and computer programming.

This course is required for undergraduate students majoring in OR. This course covers applications of mathematical programming techniques, especially integer programming, with emphasis on software implementation. This course also covers topics of modeling and solution of problems in supply chain, logistics, routing. Particular emphasis is placed on optimization modeling systems, such as AMPL and OPL and state-of-the-art solvers.

IEOR E4601 Dynamic Pricing and Revenue Management. 3 points.

Lect: 3.

Prerequisites: (STAT GU4001) and (IEOR E4004)

Focus on capacity allocation, dynamic pricing and revenue management. Perishable and/or limited product and pricing implications. Applications to various industries including service, airlines, hotel, resource rentals, etc.

Spring 2018: IEOR E4601
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4601 001/19457 T Th 10:10am - 11:25am
310 Fayerweather
Van Anh Truong 3 80/80
IEOR 4601 R01/61811  
3 0/0

IEOR E4602 Quantitative Risk Management. 3 points.

Lect: 3.

Prerequisites: (STAT GU4001) and (IEOR E4106)

Risk management models and tools; measure risk using statistical and stochastic methods, hedging and diversification. Examples of this include insurance risk, financial risk, and operational risk. Topics covered include VaR, estimating rare events, extreme value analysis, time series estimation of extremal events; axioms of risk measures, hedging using financial options, credit risk modeling, and various insurance risk models.

Spring 2018: IEOR E4602
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4602 001/78040 W 7:10pm - 9:40pm
310 Fayerweather
3 0/80

IEOR E4611 Decision Models and Applications. 3 points.

Lect: 3.Not offered during 2017-18 academic year.

Prerequisites: (SIEO W3600) or (STAT GU4001) and (IEOR E3608) or (IEOR E4004) or SIEO W3600 or IEOR E4150: Introduction to Probability and Statistics or equivalent and IEOR E3608: Introduction to Mathematical Programming or IEOR E4004: Introduction to Operations Research: Deterministic Models or equivalent, or instructor permission.
Corequisites: IEOR E4404: Simulation or equivalent.

Students are introduced to deterministic and stochastic decision tools used by leading corporations and applied researchers, and apply these software packages to complex, real-world problems in engineering and finance. Building on a basic theoretical understanding of optimization, simulation and game theory obtained in prerequisite classes, students master commercial decision modeling programs such as Premium Solver Professional (linear, integer and non-linear optimization), TreePlan (decision-trees), Crystal Ball (simulation), and OptQuest (optimization under uncertainty). Students are also welcome to complete most modeling assignments with Matlab. After students have mastered the course software, its limitations and the frameworks for applying it, they work in small teams to address (as a mid-term project) one large-scale deterministic project and (as an end-of-semester project) one similarly-complex stochastic problem. While addressing their first projects, students learn effective presentation and project reporting skills, suitable for communicating with CFOs and CEOs. Students present their project analyses to a small panel of industry experts and executives. Throughout the course, the importance of outside-the-model considerations, model limitations and sources of modeling error are stressed, and general frameworks for approaching particular problem types are developed.

IEOR E4615 Service Engineering. 3 points.

Lect: 3.Not offered during 2017-18 academic year.

Prerequisites: (SIEO W3600) and (IEOR E3106) or (IEOR E4106) or equivalent.

Focus on service systems viewed as stochastic networks, exploiting the theoretical framework of queueing theory. Includes multi-disciplinary perspectives involving Statistics, Psychology and Marketing. Significant emphasis on data analysis, exploiting data from banks hospitals and call centers to demonstrate the use of decision support tools. Analytical models, flow models of service networks, Little’s law , measuring methods in face-to-face and computerized systems, forecasting methods, stability of service systems, operational quality of service, economies of scale, staffing, complex service networks, skill based routing.

IEOR E4620 Pricing Models for Financial Engineering. 3 points.

Lect: 3.

Prerequisites: (IEOR E4700)

This course is required for undergraduate students majoring in OR:FE. Characteristics of commodities or credit derivatives. Case study and pricing of structures and products. Topics covered include swaps, credit derivatives, single tranche CDO, hedging, convertible arbitrage, FX, leverage leases, debt markets, and commodities.

Fall 2017: IEOR E4620
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4620 001/70913 W 7:00pm - 9:30pm
545 Seeley W. Mudd Building
Michael Miller 3 32/70

IEOR E4630 Asset Allocation. 3 points.

Lect: 3.

Prerequisites: (IEOR E4700)

Models for pricing and hedging equity, fixed-income, credit-derivative securities, standard tools for hedging and risk management, models and theoretical foundations for pricing equity options (standard European, American equity options, Asian options), standard Black-Scholes model (with multiasset extension), asset allocation, portfolio optimization, investments over longtime horizons, and pricing of fixed-income derivatives (Ho-Lee, Black-Derman-Toy, Heath-Jarrow-Morton interest rate model). 

Spring 2018: IEOR E4630
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4630 001/61494 Th 1:10pm - 3:40pm
833 Seeley W. Mudd Building
Miquel Noguer Alonso 3 81/80
IEOR 4630 R01/17984  
3 0/0

IEOR E4650 Business analytics. 3 points.

Lect: 3. Recit: 1.

Prerequisites: (STAT GU4001) or (IEOR E4150)

In this course, you will learn how to identify, evaluate, and capture business analytic opportunities that create value. Toward this end, you will learn basic analytical methods and analyze case studies on organizations that successfully deployed these techniques. In the first part of the course, we focus on how to use data to develop insights and predictive capabilities using machine learning and data mining techniques. In the second part, we focus on the use of optimization and simulation to support prescriptive decision-making in the presence of a large number of alternatives and business constraints. Finally, throughout the course, we explore the challenges that can arise in implementing analytical approaches within an organization.

Fall 2017: IEOR E4650
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4650 001/16774 T Th 10:10am - 11:25am
303 Seeley W. Mudd Building
Jacob Leshno 3 54/73
IEOR 4650 002/77598 T Th 11:40am - 12:55pm
303 Seeley W. Mudd Building
Jacob Leshno 3 48/73
IEOR 4650 R01/21841  
3 0/0
Spring 2018: IEOR E4650
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4650 001/10179 M W 2:40pm - 3:55pm
313 Fayerweather
Adam Elmachtoub 3 70/75
IEOR 4650 002/13805 M W 4:10pm - 5:25pm
Room TBA
Adam Elmachtoub 3 56/75

IEOR E4700 Introduction to Financial Engineering. 3 points.

Lect: 3.

Prerequisites: (IEOR E3106) or (IEOR E4106)

This course is 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. 

Fall 2017: IEOR E4700
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4700 001/12964 M W 10:10am - 11:25am
209 Havemeyer Hall
David Yao 3 56/100
IEOR 4700 R01/73693 F 9:00am - 10:00am
633 Seeley W. Mudd Building
3 0/0
Spring 2018: IEOR E4700
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4700 001/67286 M W 4:10pm - 5:25pm
501 Northwest Corner
Emanuel Derman 3 142/150
IEOR 4700 R01/23173 F 11:00am - 12:00pm
Room TBA
3 0/0

IEOR E4701 Stochastic Models for Financial Engineering. 3 points.

Lect: 3.

Prerequisites: (STAT GU4001)

This graduate course is only for MS Program in FE students, offered during the summer session. Review of elements of probability theory, Poisson processes, exponential distribution, renewal theory, Wald's equation. Introduction to discrete-time Markov chains and applications to queueing theory, inventory models, branching processes. 

Fall 2017: IEOR E4701
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4701 001/25358 T Th 8:40am - 9:55am
614 Schermerhorn Hall
Daniel Lacker 3 100/120

IEOR E4703 Monte Carlo Simulation. 3 points.

Lect: 3.

Prerequisites: (IEOR E4701)

This graduate course is only for MS Program in FE students. Multivariate random number generation, bootstrapping, Monte Carlo simulation, efficiency improvement techniques. Simulation output analysis, Markov-chain Monte Carlo. Applications to financial engineering. Introduction to financial engineering simulation software and exposure to modeling with real financial data. Note: Students who have taken IEOR E4404 Simulation may not register for this course for credit.

Spring 2018: IEOR E4703
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4703 001/67053 T Th 5:40pm - 6:55pm
833 Seeley W. Mudd Building
Ali Hirsa 3 78/100

IEOR E4706 Foundations of Financial Engineering. 3 points.

Lect: 3.

Prerequisites: (IEOR E4701) and (IEOR E4702) and linear algebra.

This graduate course is only for MS Program in FE students, offered during the summer session. Discrete-time models of equity, bond, credit, and foreign-exchange markets. Introduction to derivative markets. Pricing and hedging of derivative securities. Complete and incomplete markets. Introduction to portfolio optimization, and the capital asset pricing model.

Fall 2017: IEOR E4706
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4706 001/65180 T Th 11:40am - 12:55pm
310 Fayerweather
Dylan Possamai 3 100/96
IEOR 4706 R01/70784  
3 0/0

IEOR E4707 Financial Engineering: Continuous-Time Asset Pricing. 3 points.

Lect: 3.

Prerequisites: (IEOR E4701)

This graduate course is only for MS Program in FE students. Modeling, analysis, and computation of derivative securities. Application of stochastic calculus and stochastic differential equations. Numerical techniques: finite-difference, binomial method, and Monte Carlo.

Spring 2018: IEOR E4707
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4707 001/72832 T Th 11:40am - 12:55pm
833 Seeley W. Mudd Building
Xunyu Zhou 3 76/100

IEOR E4708 Seminar on Important Papers in Financial Engineering. 3 points.

Lect: 3.

Prerequisites: (IEOR E4703) and (IEOR E4706) and IEOR E4703, E4706, probability and statistics.

Selected topics of special interest for M.S. students interested in financial engineering.

IEOR E4709 Statistical analysis and time series. 3 points.

Lect: 3.

Prerequisites: Probability.
Corequisites: IEOR E4706,IEOR E4702

This graduate course is only for MS Program in FE students. Empirical analysis of asset prices: heavy tails, test of the predictability of stock returns. Financial time series: ARMA, stochastic volatility, and GARCH models. Regression models: linear regression and test of CAPM, nonlinear regression and fitting of term structures. 

Spring 2018: IEOR E4709
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4709 001/64495 M W 10:10am - 11:25am
833 Seeley W. Mudd Building
Agostino Capponi 3 72/100
IEOR 4709 R01/62200 F 9:00am - 10:00am
Room TBA
3 0/0

IEOR E4710 Fixed income and term structure modeling. 3 points.

Lect: 3.Not offered during 2017-18 academic year.

Prerequisites: (IEOR E4706) and (IEOR E4707) and computer programming.

Interest rate models and numerical techniques for pricing and hedging interest rate contracts and fixed income securities. Introduction to interest models in discrete and continuous time including lattice models, single- and multi- factor models, Heath-Jarrow-Morton and market models. Martingale and PDE methods for pricing and hedging interest-rate derivatives. Monte-Carlo methods for term structure models. Additional applications from mortgage modeling and fixed income asset allocation and risk management.

IEOR E4711 Global Capital Markets. 3 points.

Prerequisites: Refer to course syllabus.

Fall: Global Capital Markets, taught by Professor S. Dastidar. This course is an introduction to capital markets and investments. It provides an overview of financial markets and teaches you tools for asset valuation that will be very useful in your future career. The extract below is from last year. While I was keen to have similar content, the class complained last year that the topics 2 and 3 were too esoteric for them. Based on what the class feels, I am probably going to replace it with general content on equities (i.e. replace 2 and 3 with 4). This course then becomes very similar to Capital Markets and Investments offered by the Business School. We will cover: 1. The pricing of fixed income securities (treasury markets, interest rate swaps, futures etc) 2. Discussions on topics in credit, foreign exchange, sovereign and securitized markets (we may drop this) 3. Private markets - private equity and hedge funds, etc. (we may drop this) 4. We shall spend some time on equity markets and their derivatives, time permitting. We will aim to take a hands-on approach in this course. The course is somewhat quantitative in nature; you should be prepared to work with data and spreadsheets. Programming is not required. Nevertheless, this is a basic foundations course, and does not assume much prior knowledge in finance. Consequently, the course emphasizes a few cardinal principles while getting into some institutional detail. The word "Global" in the title implies that the concepts we discuss are relevant to all geographies; we will rarely get into specifics of any particular region.

Fall 2017: IEOR E4711
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4711 001/67797 T 7:00pm - 9:30pm
313 Fayerweather
Siddhartha Ghosh Dastidar 3 49/78
IEOR 4711 002/11251 W 7:00pm - 9:30pm
313 Fayerweather
Siddhartha Ghosh Dastidar 3 49/78

IEOR E4712 Behavioral Finance. 3 points.

Not offered during 2017-18 academic year.

Prerequisites: (IEOR E4700)

Behavioral finance is the application of behavioral psychology to financial decision making. Focus on the portfolio aspect of behavioral finance, and briefly touches others. Compared with the classical theory of portfolio choice, behavioral portfolio choice features human being's psychological biases. It builds both on behavioral preference structures different from mean variance theory and expected utility theory and on systematic biases against rational beliefs such as Bayesian rule.

IEOR E4714 Risk Management, Financial System & Financial Crisis. 1.5 point.

Risk-taking and risk management are at the heart of the financial system, and of the current financial crisis. An introduction to risk management both from an individual financial firm's and from a public policy viewpoint. Overview of the contemporary financial system, focusing on innovations of the past few decades that have changed how financial risk is generated and distributed among market participants, such as the growth of non-bank financial intermediaries, the increased prevalence of leverage and liquidity risk, and the development of structured credit products. Introduction to the basic quantitative tools used in market, credit and liquidity risk management. The two strands of the course are brought together to help understand how the financial crisis arose and is playing out, examining the mechanics of runs and the behavior of asset prices during crises. We also attempt to make sense of the emergency programs deployed by central bankers and other policy makers to address crises historically and today.

IEOR E4715 Commodity Derivatives. 1.5 point.

Commodities markets have been much in the public eye recently as volatility has increased and they changed from markets dominated by physical participants to ones which have a significant investor component. The largest banks either already have profitable commodities franchises already or are actively building them, and money managers and funds are increasingly including these assets in their portfolio mix. The end result is a dramatic increase in focus on these markets from all aspects of the financial markets, including the quantitative end.

IEOR E4718 Beyond black-scholes: the implied volatility smile. 3 points.

Lect: 3.

Prerequisites: (IEOR E4706) and knowledge of derivatives valuation models.

During the past fifteen years the behavior of market options prices have shown systematic deviations from the classic Black-Scholes model. The course examines the empirical behavior of implied volatilities, in particular the volatility smile that now characterizes most markets, the mathematics and intuition behind new models that can account for the smile, and their consequences of these models for hedging and valuation.

Fall 2017: IEOR E4718
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4718 001/70918 M W 11:40am - 12:55pm
309 Havemeyer Hall
Emanuel Derman 3 41/70

IEOR E4720 Topics in quantitative finance. 1 point.

2

Prerequisites: (IEOR E4700) and additional prerequisites will be announced depending on offering.

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.

Spring 2018: IEOR E4720
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4720 001/27326 T Th 4:10pm - 5:25pm
Room TBA
Ali Hirsa 1 70/50

IEOR E4721 Mathematics of Finance. 1.5-3 points.

Prerequisites: IEOR E4700: Introduction to Financial Engineering, additional pre-requisites will be announced depending on offering.

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.

Fall 2017: IEOR E4721
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4721 001/69000  
Michael Miller 1.5-3 93/120

IEOR E4722 Introduction to Algorithmic Trading. 1.5 point.

Prerequisites: Refer to course syllabus.

The course is an introductory level course on the various aspects of Algorithmic and Quantitative Trading. The course will put significant emphasis on topics related to execution and to greater extent to quantitative trading. The course will put large emphasis on practical consideration in the general area of quantitative trading, and in particular in the equities world. Some of the topics that will be covered. Market participants, the mechanics of trading, order books, exchanges, ATS, ECNs, etc. Market micro structure, routing, rules, market impact, covariance matrix estimation in various time frames, dynamic and optimal trading, statistical arbitrage, portfolio optimization. The course homework will include working with data sets at various frequencies.

Summer 2017: IEOR E4722
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4722 001/17047 W 6:10pm - 8:40pm
834 Seeley W. Mudd Building
Mark Higgins 1.5 6

IEOR E4725 Topics in Quantitative Finance: Numerical Solutions of Partial Differential Equation. 3 points.

Lect: 3.Not offered during 2017-18 academic year.

Prerequisites: (IEOR E4706) and (IEOR E4707) IEOR E4706 and IEOR E4707.

The course covers derivations and solutions of partial differential equations under variety of underlying stochastic price processes. Students will gain exposure to applications of partial differential equations to security pricing in different financial markets (i.e. equity derivatives, fixed income securities and credit derivative markets).

Fall 2017: IEOR E4725
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4725 001/96746 T Th 1:10pm - 2:25pm
5ab Kraft Center
Miquel Noguer Alonso 3 30/100

IEOR E4727 Programming for Financial Engineering. 3 points.

Prerequisites: Refer to course syllabus.

This course covers features of the C++ programming language which are essential in financial engineering and its applications. We start by covering basic C++ programming features and then move to some more advance features. We utilize these features for financial engineering and quantitative finance applications.

Fall 2017: IEOR E4727
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4727 001/75227 Th 4:10pm - 6:40pm
313 Fayerweather
Ali Hirsa 3 40/78

IEOR E4729 Financial Markets, Risk and Institutions. 1.5 point.

Lect: 1.5.

Prerequisites: (IEOR E4701) and (IEOR E4706)

This graduate course is only for MS Program in FE students, offered during the summer session. This core curriculum course introduces students pursuing a graduate degree in financial engineering to the main areas and concepts of modern finance. The course's objective is to provide an introduction to financial institutions, financial markets, and risk management as well as the broadest possible perspective on how financial theory and real-life practice interact, preparing students for successful careers in the financial industry and paving the way for in-depth studies that follow.

Spring 2018: IEOR E4729
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4729 001/60727 Th 7:10pm - 9:40pm
702 Hamilton Hall
Kenneth Gleason 1.5 34/80

IEOR E4731 Credit risk modeling and derivatives. 3 points.

Lect: 3.

Prerequisites: (IEOR E4701) and (IEOR E4707)

Introduction to quantitative modeling of credit risk, with a focus on the pricing of credit derivatives. Focus on the pricing of single-name credit derivatives (credit default swaps) and collateralized debt obligations (CDOs). Details topics include default and credit risk, multiname default barrier models and multiname reduced form models. 

Fall 2017: IEOR E4731
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4731 001/61149 M W 1:10pm - 2:25pm
1127 Seeley W. Mudd Building
Agostino Capponi 3 28/80

IEOR E4732 Computational Methods in Derivatives Pricing. 3 points.

Prerequisites: (IEOR E4700)

Introduction and application of various computational techniques in pricing derivatives and risk management. Transform techniques, numerical solutions of partial differential equations (PDEs) and partial integro-differential equations (PIDEs) via finite differences, Monte-Carlo simulation techniques, calibration techniques, and parameter estimation and filtering techniques. The computational platform will be Java/C++. The primary application focus will be pricing of financial derivatives and calibration. These techniques are useful for various other problems in financial modeling and practical implementations from the theory of mathematical finance.

Fall 2017: IEOR E4732
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4732 001/25545 Th 1:10pm - 3:40pm
415 Schapiro Cepser
Ali Hirsa 3 28/80

IEOR E4733 Algorithmic Trading. 3 points.

Prerequisites: IEOR E4700

Large and amorphous collection of subjects ranging from the study of market microstructure, to the analysis of optimal trading strategies, to the development of computerized, high frequency trading strategies. Analysis of these subjects, the scientific and practical issues they involve, and the extensive body of academic literature they have spawned. Attempt to understand and uncover the economic and financial mechanisms that drive and ultimately relate them.

Fall 2017: IEOR E4733
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4733 001/10760 Th 7:10pm - 9:40pm
313 Fayerweather
Iraj Kani, Kenneth Gleason 3 80/80

IEOR E4734 Foreign Exchange and Its Related Derivative Instruments. 1.5 point.

1.5.

Prerequisites: (IEOR E4700)

Foreign exchange market and its related derivative instruments - the latter being forward contracts, futures, options, and exotic options. What is unusual about foreign exchange is that although it can rightfully claim to be the largest of all financial markets it remains an area where very few have any meaningful experience. Virtually everyone has traded stocks, bonds, and mutual funds. Comparatively few individuals have ever traded foreign exchange. In part that is because foreign exchange is an interbank market. Yet ironically the foreign exchange markets may be the best place to trade derivatives and invent new derivatives - given the massive two-way flow of trading that goes though bank dealing rooms virtually twenty-four hours a day. And most of that is transacted at razor-thin margins, at least comparatively speaking, a fact that makes the foreign exchange market an ideal platform for derivatives. The emphasis is on familiarizing the student with the nature of the foreign exchange market and those factors that make it special among financial markets, enabling the student to gain a deeper understanding of the related market for derivatives on foreign exchange.

IEOR E4735 Structured and Hybrid Products. 3 points.

Lect: 3.

Prerequisites: (IEOR E4700)

Conceptual and practical understanding of structured and hybrid products from the standpoint of relevant risk factors, design goals and characteristics, pricing, hedging and risk management. Detailed analysis of the underlying cash-flows, embedded derivative instruments and various structural features of these transactions, both from the investor and issuer perspectives, and analysis of the impact of the prevailing market conditions and parameters on their pricing and risk characteristics. Numerical methods for valuing and managing risk of structured/hybrid products and their embedded derivatives and their application to equity, interest rates, commodities and currencies, inflation and credit-related products. Conceptual and mathematical principles underlying these techniques, and practical issues that arise in their implementations in the Microsoft Excel/VBA and other programming environments. Special contractual provisions often encountered in structured and hybrid transactions, and attempt to incorporate yield curves, volatility smile, and other features of the underlying processes into pricing and implementation framework for these products.

IEOR E4736 Event-driven finance. 3 points.

Lect: 3.

Prerequisites: (IEOR E4700) or equivalent.

The course takes a long deep look at the actual behavior of real stocks and options in the presence of commonplace, but singular events, such as earnings take-overs, hard-to-borrowness, expirations, etc. The course introduces concepts to propose trading schema (we organize tests via the very extensive and robust IVY options/stock database) and carry out tests efficiently and accurately. It exposes students to the striking differences between the model-based (static, thermodynamic/SDE model solutions) behavior predicted for stocks and options and their real (often quite different) behavior. They will become familiar with computational techniques for modeling and testing proposals for trading strategies. 

Fall 2017: IEOR E4736
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4736 001/65537 T 7:10pm - 9:40pm
703 Hamilton Hall
Michael Lipkin, Alexander Stanton 3 15/70

IEOR E4738 Programming for FE 1: Tools for Building Financial Data and Risk Systems. 3 points.

Lect: 3.

Prerequisites: Familiarity with object-oriented programming.

Object-oriented programming and database development for building financial data and risk systems; Python and Python's scientific libraries; basic database theory, querying and construction database; basic risk management and design of risk systems.

IEOR E4739 Programming for FE 2: Implementing High Performance Financial Systems. 3 points.

Lect: 2.5.

Prerequisites: (IEOR E4738)

Developing effective software implementations in C programming language; modeling of portfolio optimization; modeling of price impact trading models; review of synchronization of programs using threads; review of synchronization of programs using sockets; implementation of high-performance simulations in finance. 

IEOR E4900 Master's Research or Project. 1-3 points.

Prerequisites: Approval by a faculty member who agrees to supervise the work.

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

Summer 2017: IEOR E4900
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4900 001/26196  
Shipra Agrawal 1-3 1/20
IEOR 4900 002/26197  
Daniel Bienstock 1-3 0/20
IEOR 4900 003/26198  
Jose Blanchet 1-3 0/20
IEOR 4900 004/26199  
Agostino Capponi 1-3 0/20
IEOR 4900 005/26200  
Antonius Dieker 1-3 0/20
IEOR 4900 006/26246  
Emanuel Derman 1-3 0/20
IEOR 4900 007/26247  
Adam Elmachtoub 1-3 0/20
IEOR 4900 008/26248  
Yuri Faenza 1-3 0/20
IEOR 4900 009/26249  
Guillermo Gallego 1-3 0/20
IEOR 4900 010/26250  
Donald Goldfarb 1-3 0/20
IEOR 4900 011/26251  
Vineet Goyal 1-3 0/20
IEOR 4900 013/26297  
Garud Iyengar 1-3 0/20
IEOR 4900 014/26298  
hardeep Johar 1-3 0/20
IEOR 4900 015/26299  
Soulaymane Kachani 1-3 0/20
IEOR 4900 016/26346  
Jay Sethuraman 1-3 0/20
IEOR 4900 017/26347  
Karl Sigman 1-3 0/20
IEOR 4900 018/26348  
Clifford Stein 1-3 0/20
IEOR 4900 019/26349  
Van Anh Truong 1-3 0/20
IEOR 4900 020/26350  
Ward Whitt 1-3 0/20
IEOR 4900 021/26396  
David Yao 1-3 0/20
IEOR 4900 022/26397  
Xunyu Zhou 1-3 0/20
IEOR 4900 023/26398  
Jenny Mak 1-3 0/20
Fall 2017: IEOR E4900
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4900 001/16672  
Shipra Agrawal 1-3 0/20
IEOR 4900 002/19084  
Daniel Bienstock 1-3 0/20
IEOR 4900 003/24588  
Henry Lam 1-3 0/20
IEOR 4900 004/26627  
Agostino Capponi 1-3 0/20
IEOR 4900 005/76844  
Antonius Dieker 1-3 0/20
IEOR 4900 006/25720  
Emanuel Derman 1-3 1/20
IEOR 4900 007/72468  
Adam Elmachtoub 1-3 0/20
IEOR 4900 008/22673  
Yuri Faenza 1-3 0/20
IEOR 4900 009/73595  
Dylan Possamai 1-3 0/20
IEOR 4900 010/15902  
Donald Goldfarb 1-3 0/20
IEOR 4900 011/69571  
Vineet Goyal 1-3 1/20
IEOR 4900 012/18795  
Garud Iyengar 1-3 0/20
IEOR 4900 013/60153  
hardeep Johar 1-3 0/20
IEOR 4900 014/29194  
Soulaymane Kachani 1-3 0/20
IEOR 4900 015/27967  
Jay Sethuraman 1-3 0/20
IEOR 4900 016/62864  
Karl Sigman 1-3 0/20
IEOR 4900 017/11893  
Clifford Stein 1-3 1/20
IEOR 4900 018/25846  
Van Anh Truong 1-3 0/20
IEOR 4900 019/22612  
Daniel Lacker 1-3 0/20
IEOR 4900 020/62786  
David Yao 1-3 0/20
IEOR 4900 021/14313  
Xunyu Zhou 1-3 1/20
IEOR 4900 022/71311  
Ali Hirsa 1-3 1/20
IEOR 4900 023/13451  
Jenny Mak 1-3 4/20
Spring 2018: IEOR E4900
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4900 001/62549  
Shipra Agrawal 1-3 0/20
IEOR 4900 002/62145  
Daniel Bienstock 1-3 0/20
IEOR 4900 003/18523  
Agostino Capponi 1-3 0/20
IEOR 4900 004/14969  
Emanuel Derman 1-3 0/20
IEOR 4900 005/24711  
Antonius Dieker 1-3 0/20
IEOR 4900 006/11355  
Adam Elmachtoub 1-3 0/20
IEOR 4900 007/15375  
Yuri Faenza 1-3 0/20
IEOR 4900 008/10823  
Donald Goldfarb 1-3 0/20
IEOR 4900 009/68567  
Vineet Goyal 1-3 0/20
IEOR 4900 010/66293  
Ali Hirsa 1-3 0/20
IEOR 4900 011/24816  
Garud Iyengar 1-3 0/20
IEOR 4900 012/61981  
hardeep Johar 1-3 0/20
IEOR 4900 013/65562  
Soulaymane Kachani 1-3 0/20
IEOR 4900 014/22945  
Daniel Lacker 1-3 0/20
IEOR 4900 015/27735  
Henry Lam 1-3 0/20
IEOR 4900 016/72843  
Dylan Possamai 1-3 0/20
IEOR 4900 017/64024  
Jay Sethuraman 1-3 0/20
IEOR 4900 018/61722  
Karl Sigman 1-3 0/20
IEOR 4900 019/64289  
Clifford Stein 1-3 0/20
IEOR 4900 020/24208  
Van Anh Truong 1-3 0/20
IEOR 4900 021/61953  
Ward Whitt 1-3 0/20
IEOR 4900 022/13306  
David Yao 1-3 0/20
IEOR 4900 023/66584  
Xunyu Zhou 1-3 0/20
IEOR 4900 024/61317  
Jenny Mak 1-3 0/20

IEOR E4998 Managing Technological Innovation and Entrepreneurship. 3 points.

Lect: 3.

This is a required course for undergraduate students majoring in OR:EMS. Focus on the management and consequences of technology-based innovation. Explores how new industries are created, how existing industries can be transformed by new technologies, the linkages between technological development and the creation of wealth and the management challenges of pursuing strategic innovation. 

Fall 2017: IEOR E4998
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4998 001/76314 F 10:10am - 12:40pm
417 Mathematics Building
Gerard Neumann 3 33/60
Spring 2018: IEOR E4998
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4998 001/22615 F 10:10am - 12:40pm
517 Hamilton Hall
Gerard Neumann 3 48/80

IEOR E4999 Fieldwork. 0.5-2 points.

Prerequisites: Obtained internship and approval from faculty advisor.

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

Summer 2017: IEOR E4999
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4999 001/26399  
Emanuel Derman, Lizbeth Morales 0.5-2 199/400
Fall 2017: IEOR E4999
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4999 001/13321  
Emanuel Derman, Lizbeth Morales 0.5-2 109/120
Spring 2018: IEOR E4999
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 4999 001/75054  
Emanuel Derman, Lizbeth Morales 0.5-2 0/200

IEOR E6602 Nonlinear Programming. 3 points.

Lect: 3.

Prerequisites: PhD-level Linear Programming.

Convex sets and functions, convex duality and optimality conditions. Computational methods: steepest descent, Newton and quasi-newton methods for unconstrained problems, active set, penalty set, interior point, augmented Lagrangian and sequential quadratic programming methods for constrained problems. Introduction to non-differentiable optimization and bundle methods.

IEOR E6613 Optimization, I. 4.5 points.

Prerequisites: Refer to course syllabus.

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.

Fall 2017: IEOR E6613
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 6613 001/14835 M W 4:10pm - 5:25pm
337 Seeley W. Mudd Building
Donald Goldfarb 4.5 27/25
IEOR 6613 R01/64732  
4.5 0/0

IEOR E6614 Optimization, II. 4.5 points.

Lect: 3.

Prerequisites: Refer to course syllabus.

An introduction to combinatorial optimization, network flows and discrete algorithms. Shortest path problems, maximum flow problems. Matching problems, bipartite and cardinality nonbipartite. Introduction to discrete algorithms and complexity theory: NP-completeness and approximation algorithms.

Spring 2018: IEOR E6614
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 6614 001/70275 M W 4:10pm - 5:25pm
834 Seeley W. Mudd Building
Yuri Faenza 4.5 13/40
IEOR 6614 R01/12417  
4.5 0/0

IEOR E6703 Advanced Financial Engineering. 3 points.

Lect: 3.Not offered during 2017-18 academic year.

Prerequisites: Probability theory and advanced stochastic models at the SIEO GR6501 level.

Review of basic mathematics, including renewal theory and stochastic calculus. Martingale approach to Black-Scholes formula. Optimal stopping and American options. Pricing of continuous and discrete exotic options. Term structure models and pricing of bond options. Jump diffusion models. Applications, including pricing of real and electricity options and hedging of real options.

IEOR E6711 Stochastic models, I. 4.5 points.

Prerequisites: (STAT GU4001) or Refer to course syllabus.

This is the first course in a two-course sequence introducing students to the theory of stochastic processes. The fall term starts with a review of probability theory and then treats Poisson processes, renewal processes, discrete-time Markov chains and continuous-time Markov chains. The spring term emphasizes martingales and Brownian motion. Although the course does not assume knowledge of measure theory or measure-theoretic probability, the focus is on the mathematics. Proofs are emphasized. This course sequence is intended for our first-year doctoral students. Indeed, one of the two qualifying exams at the end of the first year covers the material taught in this course sequence. The course is intended to provide students background, so that they will be able to effectively conduct research.

Fall 2017: IEOR E6711
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 6711 001/23319 T Th 11:40am - 12:55pm
227 Seeley W. Mudd Building
Karl Sigman 4.5 29/25
IEOR 6711 R01/23082 F 9:00am - 10:30am
834 Seeley W. Mudd Building
4.5 0/0

IEOR E6712 Stochastic models, II. 4.5 points.

Prerequisites: (IEOR E6711) or Refer to course syllabus.

Continuation of IEOR E6711 covering further topics in stochastic modeling in the context of queueing, reliability, manufacturing, insurance risk, financial engineering and other engineering applications. Topics from among generalized semi-Markov processes; processes with a non-discrete state space; point processes; stochastic comparisons; martingales; introduction to stochastic calculus.

Spring 2018: IEOR E6712
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 6712 001/23502 T Th 10:10am - 11:25am
644 Seeley W. Mudd Building
David Yao 4.5 14/40
IEOR 6712 R01/10750  
4.5 0/0

IEOR E8100 Advanced Topics In IEOR. 1-3 points.

Prerequisites: Faculty adviser's permission.

Selected topics of current research interest. May be taken more than once for credit. 

Fall 2017: IEOR E8100
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 8100 001/64242 T Th 10:10am - 11:25am
644 Seeley W. Mudd Building
Ward Whitt 1-3 8/40
IEOR 8100 002/60992 T 7:00pm - 9:30pm
833 Seeley W. Mudd Building
Krzysztof Choromanski 1-3 36/80
Spring 2018: IEOR E8100
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 8100 001/17926 Th 4:10pm - 6:40pm
825 Seeley W. Mudd Building
Xunyu Zhou 1-3 3/40
IEOR 8100 002/18272 M W 10:10am - 11:25am
415 Schapiro Cepser
Daniel Lacker 1-3 10/40
IEOR 8100 003/24192 W 1:10pm - 3:40pm
227 Seeley W. Mudd Building
Martin Reiman 1-3 5/40
IEOR 8100 004/29155 M W 5:40pm - 6:55pm
545 Seeley W. Mudd Building
Agostino Capponi 1-3 14/40
IEOR 8100 005/73089 T Th 11:00am - 1:00pm
233 Seeley W. Mudd Building
Janet Kayfetz 1-3 1/20
IEOR 8100 006/17634 M 1:10pm - 3:40pm
644 Seeley W. Mudd Building
Shipra Agrawal 1-3 25/40

IEOR E9101 Research. 1-6 points.

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. This course may be repeated for credit.

Summer 2017: IEOR E9101
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 9101 001/26400  
Shipra Agrawal 1-6 0/20
IEOR 9101 002/26446  
Daniel Bienstock 1-6 0/20
IEOR 9101 003/26447  
Jose Blanchet 1-6 0/20
IEOR 9101 004/26448  
Agostino Capponi 1-6 0/20
IEOR 9101 005/26449  
Antonius Dieker 1-6 0/20
IEOR 9101 006/26450  
Emanuel Derman 1-6 0/20
IEOR 9101 007/26497  
Adam Elmachtoub 1-6 0/20
IEOR 9101 008/26498  
Yuri Faenza 1-6 0/20
IEOR 9101 009/26499  
Guillermo Gallego 1-6 0/20
IEOR 9101 010/26500  
Donald Goldfarb 1-6 0/20
IEOR 9101 011/26546  
Vineet Goyal 1-6 0/20
IEOR 9101 013/26548  
Garud Iyengar 1-6 0/20
IEOR 9101 014/26549  
hardeep Johar 1-6 0/20
IEOR 9101 015/26550  
Soulaymane Kachani 1-6 0/20
IEOR 9101 016/26551  
Jay Sethuraman 1-6 0/20
IEOR 9101 017/26596  
Karl Sigman 1-6 0/20
IEOR 9101 018/26597  
Clifford Stein 1-6 0/20
IEOR 9101 019/26598  
Van Anh Truong 1-6 0/20
IEOR 9101 020/26599  
Ward Whitt 1-6 0/20
IEOR 9101 021/26646  
David Yao 1-6 0/20
IEOR 9101 022/26647  
Xunyu Zhou 1-6 0/20
IEOR 9101 023/26648  
Jenny Mak 1-6 0/20
Fall 2017: IEOR E9101
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 9101 001/75210  
Shipra Agrawal 1-6 0/20
IEOR 9101 002/16490  
Daniel Bienstock 1-6 1/20
IEOR 9101 003/74740  
Henry Lam 1-6 1/20
IEOR 9101 004/73266  
Agostino Capponi 1-6 0/20
IEOR 9101 005/72941  
Antonius Dieker 1-6 0/20
IEOR 9101 006/15784  
Emanuel Derman 1-6 0/20
IEOR 9101 007/69630  
Adam Elmachtoub 1-6 0/20
IEOR 9101 008/73980  
Yuri Faenza 1-6 0/20
IEOR 9101 009/70790  
Dylan Possamai 1-6 0/20
IEOR 9101 010/29781  
Donald Goldfarb 1-6 0/20
IEOR 9101 011/73530  
Vineet Goyal 1-6 2/20
IEOR 9101 012/65830  
Garud Iyengar 1-6 1/20
IEOR 9101 013/28629  
hardeep Johar 1-6 0/20
IEOR 9101 014/62242  
Soulaymane Kachani 1-6 0/20
IEOR 9101 015/76444  
Jay Sethuraman 1-6 1/20
IEOR 9101 016/27566  
Karl Sigman 1-6 0/20
IEOR 9101 017/68765  
Clifford Stein 1-6 2/20
IEOR 9101 018/27724  
Van Anh Truong 1-6 1/20
IEOR 9101 019/71230  
Daniel Lacker 1-6 0/20
IEOR 9101 020/60068  
David Yao 1-6 1/20
IEOR 9101 021/72995  
Xunyu Zhou 1-6 1/20
IEOR 9101 022/60993  
Ali Hirsa 1-6 0/20
IEOR 9101 023/16005  
Jenny Mak 1-6 0/20
Spring 2018: IEOR E9101
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEOR 9101 001/29872  
Shipra Agrawal 1-6 0/20
IEOR 9101 002/26331  
Daniel Bienstock 1-6 0/20
IEOR 9101 003/63954  
Agostino Capponi 1-6 0/20
IEOR 9101 004/27222  
Emanuel Derman 1-6 0/20
IEOR 9101 005/10726  
Antonius Dieker 1-6 0/20
IEOR 9101 006/17331  
Adam Elmachtoub 1-6 0/20
IEOR 9101 007/28937  
Yuri Faenza 1-6 0/20
IEOR 9101 008/26623  
Donald Goldfarb 1-6 0/20
IEOR 9101 009/13786  
Vineet Goyal 1-6 0/20
IEOR 9101 010/67418  
Ali Hirsa 1-6 0/20
IEOR 9101 011/73424  
Garud Iyengar 1-6 0/20
IEOR 9101 012/73755  
hardeep Johar 1-6 0/20
IEOR 9101 013/71840  
Soulaymane Kachani 1-6 0/20
IEOR 9101 014/14187  
Daniel Lacker 1-6 0/20
IEOR 9101 015/20198  
Henry Lam 1-6 0/20
IEOR 9101 016/67165  
Dylan Possamai 1-6 0/20
IEOR 9101 017/75252  
Jay Sethuraman 1-6 0/20
IEOR 9101 018/73379  
Karl Sigman 1-6 0/20
IEOR 9101 019/23165  
Clifford Stein 1-6 0/20
IEOR 9101 020/66423  
Van Anh Truong 1-6 0/20
IEOR 9101 021/65016  
Ward Whitt 1-6 0/20
IEOR 9101 022/29614  
David Yao 1-6 1/20
IEOR 9101 023/63989  
Xunyu Zhou 1-6 0/20
IEOR 9101 024/13827  
Jenny Mak 1-6 0/20

CSOR E4010 Graph Theory: A Combinatorial View. 3 points.

Lect: 3.Not offered during 2017-18 academic year.

Prerequisites: Linear Algebra, or instructor's permission.

Graph Theory is an important part of the theoretical basis of operations research. A good understanding of the basic fundamentals of graph theory is necessary in order to apply the theory successfully in the future. This is an introductory course in graph theory with emphasis on its combinatorial aspects. It covers basic definitions, and some fundamental concepts in graph theory and its applications. Topics include trees and forests graph coloring, connectivity, matching theory and others. This course will provide a solid foundation for students in the IEOR department, on which further courses may build.

CSOR W4231 Analysis of Algorithms I. 3 points.

Lect: 3.

Prerequisites: (COMS W3134) and (COMS W3136) or (COMS W3137) and (COMS W3203)

Introduction to the design and analysis of efficient algorithms. Topics include models of computation, efficient sorting and searching, algorithms for algebraic problems, graph algorithms, dynamic programming, probabilistic methods, approximation algorithms, and NP-completeness.

Fall 2017: CSOR W4231
Course Number Section/Call Number Times/Location Instructor Points Enrollment
CSOR 4231 001/27262 T Th 11:40am - 12:55pm
833 Seeley W. Mudd Building
Mihalis Yannakakis 3 109/110
CSOR 4231 002/67835 T Th 4:10pm - 5:25pm
207 Mathematics Building
Clifford Stein 3 144/150
CSOR 4231 H01/13781  
Mihalis Yannakakis 3 43/50
Spring 2018: CSOR W4231
Course Number Section/Call Number Times/Location Instructor Points Enrollment
CSOR 4231 001/27733 M W 4:10pm - 5:25pm
833 Seeley W. Mudd Building
Alexandr Andoni 3 82/100
CSOR 4231 002/26380 T Th 4:10pm - 5:25pm
Room TBA
Eleni Drinea 3 52/100

COSA E9800 Data Science Doctoral Seminar. 1 point.

Not offered during 2017-18 academic year.

The Data Science Doctoral Seminar is a 1-credit course that meets weekly. The purpose is to expose the doctoral students to a breadth of ideas in data science across disciplinary domains. The syllabus combines guest lectures from academic data scientists in the greater NYC area and faculty at Columbia, along with a selection of related readings chosen by the guest lecturers. As part of this seminar, students will be expected to engage in active open discussion about the topics and readings covered in class, as well as discuss how such topics apply to their own respective research areas.

IEME E4200 Human Centered Design. 1 point.

Lect: 4.5.Not offered during 2017-18 academic year.

Prerequisites: By application and instructor approval.

Fast-paced introduction to human centered design. Students learn the vocabulary of design methods, understanding of design process. Small group projects to create prototypes. Design of simple product, more complex systems of products and services, and design of business.

IEME E4310 The Manufacturing Enterprise. 3 points.

Lect: 3.

The strategies and technologies of global manufacturing and service enterprises. Connections between the needs of a global enterprise, the technology and methodology needed for manufacturing and product development, and strategic planning as currently practiced in industry.  

Fall 2017: IEME E4310
Course Number Section/Call Number Times/Location Instructor Points Enrollment
IEME 4310 001/65263 W 10:10am - 12:40pm
545 Seeley W. Mudd Building
Sheldon Weinig 3 15/60

MEIE E4810 Introduction to Human Spaceflight. 0 points.

Prerequisites: Department permission and knowledge of MATLAB or equivalent

Introduction to human spaceflight from a systems engineering perspective. Historical and current space programs and spacecraft. Motivation, cost and rationale for human space exploration. Overview of space environment needed to sustain human life and health, including physiological and psychological concerns in space habitat. Astronaut selection and training processes, spacewalking, robotics, mission operations, and future program directions. Systems integration for successful operation of a spacecraft. Highlights from current events and space research, Space Shuttle, Hubble Space Telescope, and International Space Station (ISS). Includes a design project to assist International Space Station astronauts. 

Spring 2018: MEIE E4810
Course Number Section/Call Number Times/Location Instructor Points Enrollment
MEIE 4810 001/26711 W 4:10pm - 6:40pm
415 Schapiro Cepser
Michael Massimino 0 0/40

MSIE W6408 Inventory Theory. 3 points.

Lect: 3.Not offered during 2017-18 academic year.

Prerequisites: Probability theory, dynamic programming.

Construction and analysis of mathematical models used in the design and analysis of inventory systems. Deterministic and stochastic demands and lead times. Optimality of (s, S) policies. Multiproduct and multiechelon systems. Computational methods.

SIEO W3600 Introduction to Probability and Statistics. 4 points.

Lect: 3. Recit: 1.

Prerequisites: Calculus.

For undergraduates only. This course is required for undergraduate students majoring in IE, OR:EMS, and OR. This class must be taken during the fourth semester. Fundamentals of probability and statistics used in engineering and applied science. Probability: random variables, useful distributions, expectations, law of large numbers, central limit theorem. Statistics: point and confidence interval estimation, hypothesis tests, linear regression. SIEO W3600 must be completed by the fourth term. Only students with special academic circumstances may be allowed to take these courses in alternative semesters with the consultation of CSA and Departmental advisors. Recitation section required.