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Department of Industrial Engineering and Operations Research
Chair: Professor Clifford Stein, 313 Mudd, 212-854-2941
Opportunities
- calibration of derivative pricing models with market data
- numerical methods for pricing and hedging of financial derivatives
- stochastic simulation for portfolio risk management
Recent projects in Financial Engineering have included: (1) risk analysis of exchange-traded funds; (2) finite-difference methods for solving free boundary problems arising from option trading, exercise of American options, and timing of asset sale; (3) option pricing and hedging under stochastic volatility and jumps; and (4) variance reduction method for simulation with application to risk estimation. Appropriate background: programming (e.g., C, C++, or MATLAB), probability and statistics (IEOR E3600 or equivalent), stochastic models (IEOR E3106 or E4106), and simulation (IEOR E4404 or E4703).
Contact: Professor Tim Leung, tl2497@columbia.edu, 308A Mudd, 212-854-9539;
http://www.columbia.edu/~tl2497
Contact: Professor Tim Leung, tl2497@columbia.edu, 308A Mudd, 212-854-9539;
http://www.columbia.edu/~tl2497
Opportunities
- stochastic models in operations research
a. stochastic simulation models of stochastic systems
b. evaluate analytical approximations
c. numerical algorithms for solving stochastic models
Recent projects have included: (1) studying congestion associated with inspecting shipping containers; (2) studying approximations for performance measures of queueing models of telephone call centers, including customer abandonment; (3) studying methods for determining staffing requirements in service systems with time-varying demand; and (4) studying new methods for numerically inverting transforms, with application to calculating system performance characteristics. Appropriate background: programming (e.g., C, C++, MATLAB), probability and statistics (IEOR E3600 or equivalent), stochastic models (IEOR E3106 or E4106), and simulation (IEOR E4404).
Contact: Professor Ward Whitt, ww2040@columbia.edu, 304 Mudd, 212-854-7255
Contact: Professor Ward Whitt, ww2040@columbia.edu, 304 Mudd, 212-854-7255
For more opportunities, please visit the IEOR faculty bios at
http://www.ieor.columbia.edu/directory/faculty.html.
