printer friendly pageMS&E 242H: Investment Science Honors
Concepts of modern quantitative finance and investments. Basic concepts under certainty including arbitrage, term structure of interest rates, and bond portfolio immunization. A situation of uncertainty in one period. Topics: arbitrage; theorems of asset pricing; pricing measures; derivative securities; applications and estimating of financial risk measures; mean-variance portfolio analysis; and equilibrium and the capital asset pricing model. Group projects involving financial market data. Enrollment limited. Prerequisites: basic probability, statistics, and economics such as MS&E 120, 121,
MATH 51,
ENGR 60, or equivalents. No prior knowledge of finance required.
Terms: Aut
| Units: 3
Instructors:
Giesecke, K. (PI)
MS&E 242S: Investment Science
Emphasis is on a cash flow approach. Topics include deterministic cash flow analysis (time value of money, present value, internal rate of return, taxes, inflation), fixed income securities, duration and bond portfolio immunization, term structure of interest rates (spot rates, discount factors, forward rates), Fisher-Weill duration and immunization, capital budgeting, dynamic optimization problems, investments under uncertainty, mean-variance portfolio theory, capital asset pricing, and basic options theory. Goal is to create a link between engineering analysis and business decision making.
Terms: Sum
| Units: 3
Instructors:
Feinstein, C. (PI)
MS&E 243: Energy and Environmental Policy Analysis (IPER 243)
Concepts, methods, and applications. Energy/environmental policy issues such as automobile fuel economy regulation, global climate change, research and development policy, and environmental benefit assessment. Group project. Prerequisite: MS&E 241 or
ECON 50, 51.
Terms: Spr
| Units: 3
Instructors:
Sweeney, J. (PI)
MS&E 245G: Finance for Non-MBAs (ECON 135)
For graduate students and advanced undergraduates. The foundations of finance; applications in corporate finance and investment management. Financial decisions made by corporate managers and investors with focus on process valuation. Topics include criteria for investment decisions, valuation of financial assets and liabilities, relationships between risk and return, market efficiency, and the valuation of derivative securities. Corporate financial instruments including debt, equity, and convertible securities. Equivalent to core MBA finance course,
FINANCE 220. Prerequisites:
ECON 51, or
ENGR 60, or equivalent; ability to use spreadsheets, and basic probability and statistics concepts including random variables, expected value, variance, covariance, and simple estimation and regression.
Terms: Aut
| Units: 3-5
Instructors:
Admati, A. (PI)
MS&E 246: Game Theory with Engineering Applications
Strategic interactions among multiple decision makers emphasizing applications to engineering systems. Topics: efficiency and fairness; collective decision making and cooperative games; static and dynamic noncooperative games; and complete and incomplete information models. Competition: Bertrand, Cournot, and Stackelberg models. Mechanism design: auctions, contracts. Examples from engineering problems. Prerequisites:
MATH 51 and exposure to probability such as 120 or
EE 178. Recommended: 211, concurrent enrollment in 241 or
ECON 202.
Terms: Win
| Units: 3
Instructors:
Erhun, F. (PI)
MS&E 247S: International Investments
International financial markets, their comparative behavior and interrelations. Focus is on assets traded in liquid markets: currencies, equities, bonds, swaps, and derivatives. Topics: institutional arrangements, taxation and regulation, international arbitrage and parity conditions, valuation of target firms for cross-border acquisitions, direct foreign investment, international diversification and portfolio management, derivative instruments and dynamic investment strategies, international performance analysis, international capital flows and financial crises, and topics of current relevance and importance.
Terms: Sum
| Units: 3
Instructors:
Fu, Y. (PI)
MS&E 248: Economics of Natural Resources
Intertemporal economic analysis of natural resource use, particularly energy, and including air, water, and other depletable mineral and biological resources. Emphasis is on an integrating theory for depletable and renewable resources. Stock-flow relationships; optimal choices over time; short- and long-run equilibrium conditions; depletion/extinction conditions; market failure mechanisms (common-property, public goods, discount rate distortions, rule-of-capture); policy options. Prerequisite: 241 or
ECON 51.
Terms: Aut
| Units: 3-4
Instructors:
Sweeney, J. (PI)
MS&E 249: Economic Growth and Development
What generates economic growth. Emphasis is on theory accompanied by intuition, illustrated with country cases. Topics: the equation of motion of an economy; optimal growth theory; calculus of variations and optimal control approaches; deriving the Euler and Pontriaguine equations from economic reasoning. Applications: former planned economies in Russia and E. Europe; the present global crisis: causes and consequences; a comparative study of India and China. The links between economic growth and civilization; the causes of the rise and decline of civilizations; lessons for the future.
Terms: Sum
| Units: 3
Instructors:
de La Grandville, O. (PI)
MS&E 250A: Engineering Risk Analysis
The techniques of analysis of engineering systems for risk management decisions involving trade-offs (technical, human, environmental aspects). Elements of decision analysis; probabilistic risk analysis (fault trees, event trees, systems dynamics); economic analysis of failure consequences (human safety and long-term economic discounting); and case studies such as space systems, nuclear power plants, and medical systems. Public and private sectors. Prerequisites:
ENGR 60 or equivalent, probability, and decision analysis.
Terms: Win
| Units: 3
Instructors:
Pate-Cornell, E. (PI)
MS&E 250B: Project Course in Engineering Risk Analysis
Students, individually or in groups, choose, define, formulate, and resolve a real risk management problem, preferably from a local firm or institution. Oral presentation and report required. Scope of the project is adapted to the number of students involved. Three phases: risk assessment, communication, and management. Emphasis is on the use of probability for the treatment of uncertainties and sensitivity to problem boundaries. Limited enrollment. Prerequisites: MS&E 250A and consent of instructor.
Terms: Spr
| Units: 3
Instructors:
Pate-Cornell, E. (PI)
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