IEOR E4000x Production and Operations Management 3 pts. Required course for MSIE. Prerequisites: or Corequisite probability theory and linear programming. 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 is on modeling and its implications for managerial decisions.

IEOR E4001y Design and Management of Production and Service Systems 3 pts. This course is required for undergraduate students majoring in OR:EMS. Prerequisites: IEOR E4000 or IEOR E3402 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 E4003x Industrial Economics 3 pts. This course is required for all undergraduate students majoring in IE, OR:EMS, OR:FE and OR. Prerequisites: or Corequisites: probability theory and linear programming. 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.

IEOR E4004x and y-E4004 Introduction To Operations Research: Deterministic Models 3 pts. This is a required course for MSEMS, MSIE and MSOR 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.

IEOR E4007x Optimization Models and Methods for Financial Engineering 3 pts. This course is for MSFE students only. Prerequisites: Linear algebra. 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 will be discussed.

IEOR E4106y Introduction To Operations Research: Stochastic Models 3 pts. This is a required course for MSEMS, MSIE and MSOR students. This is also required for students in the Undergraduate Advanced Track. Prerequisites: SIEO W4150 or probability theory. 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.

SIEO W4150x and y-S4150 Introduction To Probability and Statistics 3 pts. Prerequisites: Calculus. 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: point and confidence interval estimation, hypothesis tests, linear regression.

IEOR E4207x Human Factors: Performance 3 pts. This course is required for undergraduate students majoring in IE. Sensory and cognitive (brain) processing considerations in the design, development, and operations of systems, products, and tools. User or operator limits and potential in sensing, perceiving decision making, movement coordination, memory, and motivation.

IEOR E4208y Seminar In Human Factors Design 3 pts. This course is an elective undergraduate students majoring in IE. Prerequisites: IEOR E4207 or the instructor's permission. An in-depth exploration of the application potential of human factor principles for the design of products and processes. Applications to industrial products, tools, layouts, workplaces, and computer displays. Consideration to environmental factors, training and documentation. Term project.

IEOR E4210y Supply Chain Management 3 pts. This is a IE elective for undergraduate students majoring in IE. Prerequisites: IEOR 3402, IEOR 4000 or permission of instructor. Major issues in supply chain management, including, definition of a supply chain; role of inventory; supply contracts; bullwhip effect and information sharing; vendor-managed inventories and other distribution strategies; third-party logistics providers; managing product variety; information technology and supply chain management; international issues. Emphasis on quantitative models and analysis.

IEOR E4220y Demand and Supply Analytics 3 pts.Not offered in 2009-2010. Prerequisites: IEOR E4004 (or IEOR E3608), IEOR E4106 (or IEOR E3608). Tools to efficiently manage supply and demand networks. Topics include service and inventory trade offs, stock allocation, pricing, markdown management and contracts, timely product distribution to market while avoiding excess inventory, allocating adequate resources to the most profitable products and selling the right product to the right customer at the right price and at the right time.

IEOR E4307x Industrial Forecasting 3 pts. This course is required for undergraduate students majoring in OR:FE and OR. Prerequisites: SIEO W3600 Analytical techniques and forecasting methodologies with application to industrial problems. Evaluation and comparison of techniques as they pertain to industrial applications. Term project.

IEOR E4308x Industrial Budgeting and Financial Control 3 pts. Prerequisites: ENGI W2261 or accounting and finance. Management control via the budgeting and financial processes. Topics include the preparation, evaluation, and implementation of operating and capital budgets and review of their performance. Examples from contemporary practice.

IEME E4310x The Manufacturing Enterprise 3 pts. 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.

IEOR E4403x Advanced Engineering and Corporate Economics 3 pts. This course is required for students in the Undergraduate Advanced Track. Prerequisites: probability theory and linear programming Key measures and analytical tools to assess the financial performance of a firm and perform the economic evaluation of industrial projects. Deterministic mathematical programming models for capital budgeting. Concepts in utility theory, game theory and real options analysis.

IEOR E4404x and y Simulation 4 pts. 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. Prerequisites: SIEO W3600 or SIEO W4150, computer programming Corequisites: IEOR E3106 or IEOR E4106 Generation of random numbers from given distributions; variance reduction; statistical output analysis; introduction to simulation languages; application to financial, telecommunications, computer, and production systems. Graduate students must register for 3 points. Undergraduate students must register for 4 points.

NOTE: Students who have taken IEOR E4703 Monte Carlo simulation may not register for this course for credit. Recitation Section Required.

IEOR E4405y Production Scheduling 3 pts. This course is required for undergraduate students majoring in IE and OR. Prerequisites: SIEO W3600, IEOR E3608, computer programming. 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.

IEOR E4407x Game Theoretic Models of Operations 3 pts. This course is required for undergraduate students majoring in OR:FE and OR. Prerequisites: IEOR E4004 (or IEOR E3608), IEOR E4106 (or IEOR E3106), familiarity with differential equations and computer programming; or instructor�s permission. 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.

IEOR E4412y Quality Control and Management 3 pts. This course is required for undergraduate students majoring in IE. Prerequisites: SIEO W3600 or SIEO W4150 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 services.

IEOR E4418y Logistics and Transportation Management 3 pts. Prerequisites: IEOR 3608 or IEOR 4404 or permission of instructor. Introduces quantitative techniques and state-of-the-art practice of operations research relevant to the design and both the tactical and strategic management of logistical and transportation systems. Discusses a wide variety of passenger and freight systems, including air, urban and highway traffic, rail, and maritime systems. Explores the practice of revenue management and dynamic pricing. Through case studies, analyzes successes and failures in third-party logistics, postal, truck and rail pickup and delivery systems. Investigates large-scale integrated logistics and transportation systems and studies the underlying principles governing transportation planning, investment and operations.

IEOR E4500y Applications Programming for Financial Engineering 3 pts. This course is required for undergraduate students majoring in OR:FE. Prerequisites: Computer programming or instructor's approval 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 setttings 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.

IEOR E4510y Project Management 3 pts. Prerequisites: IEOR E4004 (or IEOR E3608). Management of complex projects 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.

IEOR E4550y Entrepreneurial Business Creation for Engineers 3 pts. This course is required for undergraduate students majoring in OR:EMS. Prerequisites: ENGI W2261. Introduces the basic concepts and methodologies that are used by the non-engineering 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.

IEOR E4600y Applied Integer Programming 3 pts. This course is required for undergraduate students majoring in OR. Prerequisites: Linear programming, linear algebra, and computer programming. Applications of mathematical programming techniques, especially integer programming, with emphasis on software implementation. Typical applications: capacity expansion, network design, and scheduling.

IEOR E4601y Dynamic Pricing and Revenue Management 3 pts. Prerequisites: SIEO W4150 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.

IEOR E4602y Quantitative Risk Management 3 pts. Prerequisites: SIEO W4150 and IEOR E4106 Risk management models and tools; measure risk using statistical and stochastic methods, hedging and diversification. Examples 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.

IEOR E4620x Applied Financial Engineering 3 pts. This course is required for undergraduate students majoring in OR:FE. Prerequisites: IEOR E4700 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 arbitage, FX, leverage leases, debt markets, and commodities.

IEOR E4630y Asset Allocation 3 pts. 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 multi-asset extension), asset allocation, portfolio optimization, investments oover long time horizons, and pricing of fixed-income derivatives (Ho-Lee, Black-Derman-Toy, Heath-Jarrow-Morton interest rate model).

IEOR E4700x and y Introduction To Financial Engineering 3 pts. This course is required for undergraduate students majoring in OR:FE. Prerequisites: IEOR E4106 or IEOR E3106. 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.

IEOR E4701 Stochastic Models for Financial Engineering 3 pts. This course is for MSFE students only, offered during the summer session. Prerequisites: SIEO W4105. 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.

IEOR E4702 Statistical Inference for Financial Engineering 1.5 pts. This course is for MSFE students only, offered during the summer session. Corequisites: IEOR E4701 and IEOR E4706. The course covers basic tools of statistical inference relevant to financial engineering. The statistical topics covered include point estimation, maximum likelihood estimators, confidence intervals, the delta method, hypothesis testing, and goodness of fit tests. The financial examples include selection bias in finance, estimation of drift and volatility in the geometric Brownian motion model, the leptokurtic feature, and difficulties in estimating the tail distributions of asset returns.

IEOR E4703x Monte Carlo Simulation 3 pts. This course is for MSFE students only. Prerequisites: IEOR E4701. 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.

IEOR E4705x Studies In Operations Research 3 pts. Prerequisites: IEOR E4004 (or IEOR E3608) and IEOR E4106 (or IEOR E3106). Analysis and critique of current operations research studies. Blood bank inventory, fire departments, police departments, and housing operations research studies are considered

IEOR E4706 Financial Engineering: Discrete-Time Asset Pricing 3 pts. This course is for MSFE students only, offered during the summer session. Prerequisites: IEOR E4701, IEOR E4702, and linear algebra. Bond mathematics. Introduction to forwards, futures and other derivative securities. Discrete-time models of equity markets and the term structure. Pricing and dynamic hedging of derivative securities. Option pricing and Black-Scholes, introduction to real options and portfolio optimization.

IEOR E4707x Financial Engineering: Continuous-Time Asset Pricing 3 pts. This course is for MSFE students only. Prerequisites: IEOR E4701. Modeling, analysis, and computation of derivative securities. Applications of stochastic calculus and stochastic differential equations. Numerical techniques: finite-difference, binomial method, and Monte Carlo.

IEOR E4708y Seminar on Important Papers in Financial Engineering 3 pts. Prerequisites: IEOR E4703, IEOR E4706, probability and statistics. Selected topics of special interest to Financial Engineering MS students. If topics are different then this course can be taken more than once for credit.

IEOR E4709x Data Analysis for Financial Engineering 3 pts. This course is for MSFE students only. Prerequisites: Probability and IEOR E4702. Corequisites: IEOR E4706, IEOR E4707 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.

IEOR E4710y Term Structure Models 3 pts. Prerequisites: IEOR E4706, IEOR E4707 and computer programming. Interest rate models and numerical techniques for pricing and hedging interest rate contracts and fixed income securities.

IEOR E4718y Introduction to the Implied Volatility Smile 3 pts. Prerequisites: IEOR E4706, 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 will examine the empirical behavior of implied volatilities, in particular the volatility smile that now characterizes most markets, and then discuss the mathematics and intuition behind new models that can account for the smile, and then examine their consequences for hedging and valuation.

IEOR E4720x and y-E4729 Topics in Quantitative Finance 1.5-3 pts. Prerequisites: IEOR E4700, 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.

IEOR E4724 (Section 001) Topics in Quantitative Finance: Hedge Fund Management 1.5-3 pts. Offered during the summer session. The course covers the critical managerial aspects and characteristics of hedge funds and its industry, including legal regulations, strategies, risk management, performance evaluation, etc.

IEOR E4725y Topics in Quantitative Finance: Numerical Solutions of Partial Differential Equation 3 pts. Prerequisites: 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).

IEOR E4726y Topics in Quantitative Finance: Experimental Finance 3 pts. Prerequisites: IEOR E4706 and IEOR E4707. The course introduces concepts to propose trading schema, organize tests via options/stock databases and carry out tests efficiently and accurately. It exposes students to the striking differences between static, thermodynamic/SDE model solutions and real (time-of-flight) pricing. They will become familiar with computational techniques for modeling and testing proposals for trading strategies.

IEOR E4727 Topics in Quantitative Finance: Quantitative Portfolio Management 1.5-3 pts. Spring or summer offering.Not offered in 2009-2010. The course covers aspects of quantitative portfolio management and risk management from the foundations to most advanced developments including: multivariate statistics, estimation techniques, market modeling, portfolio evaluation, allocation frameworks and portfolio optimization under estimation risk.

IEOR E4731y Credit Risk Modeling and Credit Derivatives 3 pts. 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). Detail topics include: default and credit risk, multi-name default barrier models and multi-name reduced form models.

IEOR E4900x and y Master's Research or Project 1-3 pts. Prerequisites: approval by a faculty member who agrees to supervise the work. Independent work involving experiments, computer programming, analytical investigation, or engineering design.

IEOR E4998x and y Managing Technological Innovation and Entrepreneurship 3 pts. 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.

IEOR E4999x and y Curricular Practical Training 1-2 pts. 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.

MSIE W6408y Inventory Theory 3 pts.Not offered in 2009-2010. 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 multi-echelon systems. Computational methods.

IEOR E6602y Nonlinear Programming 3 pts.Not offered in 2009-2010. 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 E6613x Optimization, I 4.5 pts. Prerequisites: linear algebra. 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.

IEOR E6614y Optimization, II 4.5 pts. Prerequisites: linear algebra. 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

IEOR E6703y Advanced Financial Engineering 3 pts.Not offered in 2009-2010. Prerequisites: Probability theory and advanced stochastic models at the SIEO W6501 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 E6711x Stochastic Models, I 4.5 pts. Prerequisites: SIEO W4105 or the equivalent. Advanced treatment of stochastic modeling in the context of queueing, reliability, manufacturing, insurance risk, financial engineering and other engineering applications. Review of elements of probability theory; exponential distribution; renewal theory; Wald's equation; Poisson processes. Introduction to both discrete and continuous-time Markov chains; introduction to Brownian motion.

IEOR E6712y Stochastic Models, II 4.5 pts. Prerequisites: IEOR E6711 or the equivalent. 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.

IEOR E8100y Advanced Topics in IEOR: Large Deviations: Applications in Operations Research 3 pts.Not offered in 2009-2010.

IEOR E8100y Advanced Topics in IEOR: Convex Optimization 3 pts.Not offered in 2009-2010. Prerequisites: Doctoral students, or with instructor's permission.

IEOR E8100x and y Advanced Topics In IEOR 1-3 pts. Prerequisites: faculty adviser's permission. Selected topics of current research interest. May be taken more than once for credit.

IEOR E8100y (Section 001) Graph Theory II 3 pts.

IEOR E8100y (Section 002) Advanced Topics in Operations Management 3 pts. This is a seminar course intended for doctoral students only. Impact of new technology and information on operational decisions, such as capacity management, new product introduction, inventory control, and distribution of goods will be discussed. Operational decisions from a firm�s perspective (as the single decision maker), periodic and continuous review single and multi-echelon distribution systems, incentive issues for sharing information from supply chain perspective with multiple decision makers, and operational decisions from the perspective of a human decision maker will be covered.

IEOR E9101x and y Research 1-6 pts. 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.

IEOR E9800x and y Doctoral Research Instruction 3-12 pts. 3,6,9, or 12 pts. dependent upon instructor's permission A candidate for the Eng.Sc.D. degree in industrial engineering or operations research must register for 12 points of doctoral research instruction. Registration in IEOR E9800 may not be used to satisfy the minimum residence requirement for the Ph.D. degree.