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91 - 100 of 147 results for: MS&E

MS&E 342: Advanced Investment Science

Topics: forwards and futures contracts, continuous and discrete time models of stock price behavior, geometric Brownian motion, Ito's lemma, basic options theory, Black-Scholes equation, advanced options techniques, models and applications of stochastic interest rate processes, and optimal portfolio growth. Computational issues and general theory. Teams work on independent projects. Prerequisite: 242.
Terms: Win | Units: 3

MS&E 347: Credit Risk: Modeling and Management

Credit risk modeling, valuation, and hedging emphasizing underlying economic, probabilistic, and statistical concepts. Point processes and their compensators. Structural, incomplete information and reduced form approaches. Single name products: corporate bonds, equity, equity options, credit and equity default swaps, forwards and swaptions. Multiname modeling: index and tranche swaps and options, collateralized debt obligations. Implementation, calibration and testing of models. Industry and market practice. Data and implementation driven group projects that focus on problems in the financial industry.
Terms: Win | Units: 3
Instructors: Giesecke, K. (PI)

MS&E 350: Doctoral Seminar in Risk Analysis

Limited to doctoral students. Literature in the fields of engineering risk assessment and management. New methods and topics, emphasizing probabilistic methods and decision analysis. Applications to risk management problems involving the technical, economic, and organizational aspects of engineering system safety. Possible topics: treatment of uncertainties, learning from near misses, and use of expert opinions.
| Repeatable for credit

MS&E 351: Dynamic Programming and Stochastic Control

Markov population decision chains in discrete and continuous time. Risk posture. Present value and Cesaro overtaking optimality. Optimal stopping. Successive approximation, policy improvement, and linear programming methods. Team decisions and stochastic programs; quadratic costs and certainty equivalents. Maximum principle. Controlled diffusions. Examples from inventory, overbooking, options, investment, queues, reliability, quality, capacity, transportation. MATLAB. Prerequisites: MATH 113, 115; Markov chains; linear programming.
Terms: Aut | Units: 3
Instructors: Wen, Z. (PI)

MS&E 352: Decision Analysis II: Professional Decision Analysis

How to organize the decision conversation, the role of the decision analysis cycle and the model sequence, assessing the quality of decisions, framing decisions, the decision hierarchy, strategy tables for alternative development, creating spare and effective decision diagrams, biases in assessment, knowledge maps, uncertainty about probability. Sensitivity analysis, approximations, value of revelation, joint information, options, flexibility, bidding, assessing and using corporate risk attitude, risk sharing and scaling, and decisions involving health and safety. See 353 for continuation. Prerequisite: 252.
Terms: Win | Units: 3-4
Instructors: Howard, R. (PI)

MS&E 355: Influence Diagrams and Probabilistics Networks

Network representations for reasoning under uncertainty: influence diagrams, belief networks, and Markov networks. Structuring and assessment of decision problems under uncertainty. Learning from evidence. Conditional independence and requisite information. Node reductions. Belief propagation and revision. Simulation. Linear-quadratic-Gaussian decision models and Kalman filters. Dynamic processes. Bayesian meta-analysis. Prerequisites: 220, 252, or equivalents, or consent of instructor.
Terms: Win | Units: 3
Instructors: Shachter, R. (PI)

MS&E 371: Innovation and Strategic Change

Doctoral research seminar, limited to Ph.D. students. Current research on innovation strategy. Topics: scientific discovery, innovation search, organizational learning, evolutionary approaches, and incremental and radical change. Topics change yearly. Recommended: course in statistics or research methods.
Terms: Win | Units: 2-3 | Repeatable for credit
Instructors: Katila, R. (PI)

MS&E 375: Research on Entrepreneurship

Restricted to Ph.D. students. Organization theory, economics, and strategy perspectives. Limited enrollment. Prerequisites: SOC 360 or equivalent, and consent of instructor.
Terms: Aut | Units: 3

MS&E 380: Doctoral Research Seminar in Organizations

Limited to Ph.D. students. Topics from current published literature and working papers. Content varies. Prerequisite: consent of instructor.
Terms: Aut | Units: 3 | Repeatable for credit
Instructors: Sutton, R. (PI)

MS&E 381: Doctoral Research Seminar in Work, Technology, and Organization

Enrollment limited to Ph.D. students. Topics from current published literature and working papers. Content varies. Prerequisite: consent of instructor.
Terms: Win | Units: 2-3 | Repeatable for credit
Instructors: Barley, S. (PI)
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