Columbia MSOR some truth about the Columbia MSOR

[fffk]

I see some misleading information and some very ignorant comments about the Columbia OR program here. So I would like to start this new thread to tell some truth about OR and the Columbia program.

The following information is from the IEOR department of Columbia University.

"
MSOR degree candidates are required to satisfy a core program of graduate courses:
SIEO W4150: Introduction to Probability and Statistics
IEOR E4004: Intro to OR: Deterministic Models
IEOR E4106: Intro to OR: Stochastic Models
IEOR E4004: Simulation
All students must take at least 18 points of graduate work in the IEOR Department (denoted by courses with the IEOR designation) and at least 30 points of graduate studies at Columbia."

So you can see that the Columbia OR students are only required to take 4 core courses, which are all important maths. If you want to specialize in FE, you can just take those FE courses as electives. When you graduate, you can put "OR degree with specialization in FE" on your resume.

If you do further research, you will find out FE, which is a relatively new subject, is just a branch of OR, which is a much more broader subject. FYI, some of the "facts" are listed below.

For Cornell University, the degree for their FE student is called M. Eng. in Operations Research, and the bonus is a certification of FE.

For Princeton University, they had a FE program housed in the OR department previously, but merged into their MSF program later.

For Columbia University, their IEOR undergraduates can major either in OR or IE. But only those OR majors can choose to have the concentration of FE.

It is also a bit hard to believe that many of the courses are avoidable in Columbia's OR. It is a degree in OR in the end

Hey, Yuriy, have you ever done research in OR? Have you ever talked to anyone doing OR in Columbia? Do you really know what OR is? Please have "fact" ready before posting comments publicly. The misleading information on the forum will eventually hurt the community in the long term...

Some information of the Columbia OR program is posted below.

MSOR degree candidates are required to satisfy a core program of graduate courses:
SIEO W4150: Introduction to Probability and Statistics
IEOR E4004: Intro to OR: Deterministic Models
IEOR E4106: Intro to OR: Stochastic Models
IEOR E4004: Simulation

All students must take at least 18 points of graduate work in the IEOR Department (denoted by courses with the IEOR designation) and at least 30 points of graduate studies at Columbia.

You can see that the OR students are only required to take 4 core math courses in Columbia. So if an OR student wants to specialize in FE, he or she can just take those FE courses as electives. On their resume, they can put "OR degree with specialization in FE". So if you Compare Columbia OR with Poly FE, that is a joke.

Furthermore, if you talk to some math professors or do some research online, you will find out FE is just a branch of OR. OR is a much more boarder subject. That is why the Cornell FE student will earn a M. Eng in "OR" plus a certificate in "FE". For Princeton University, they had a FE program housed in the OR department previously, but merged into their MSF program later. For Columbia University, their IEOR undergraduates can major either in OR or IE. But only those OR majors can choose to have the concentration of FE.

So please do research before posting

 

[alain]

Oops... somebody hit a nerve :D

fffk, I don't see why what Yuriy posted contradicts in any shape or form what you are saying. He is just stating that the OR curriculum would probably won't deviate from OR subjects. That's about it. IMO, you just reaffirmed his point.

 

[Andy Nguyen]

Thanks for the info. Are you a student at one of the OR programs mentioned ?

 

[fffk]

Oops... somebody hit a nerve :D

fffk, I don't why what Yuriy posted contradicts in any shape or form what you are saying. He is just stating that the OR curriculum would probably won't deviate from OR subjects. That's about it. IMO, you just reaffirmed his point.

Hey, alain, please read my post carefully.

FE is just a branch of OR. And if you go for the Columbia OR, you don't have to take any supply chain stuff at all if you don't want to!!!:D All you are required to do is to take the 4 math courses. For the rest of the credits, you can just fill them with pure FE classes if you want to specialize in FE.

Thank you.

 

[echostate]

Hey, alain, please read my post carefully.

FE is just a branch of OR. And if you go for the Columbia OR, you don't have to take any supply chain stuff at all if you don't want to!!!:D All you are required to do is to take the 4 math courses. For the rest of the credits, you can just fill them with pure FE classes if you want to specialize in FE.

Thank you.

I'm very interested in the comparison between Princeton MFIN vs. other OR programs. Since you are from Columbia MSOR (i judged that from your posts), perhaps you can provide some information about this.

 

[alain]

If you are a current student in the OR program, could you provide more information? It would be interesting to know about job opportunities, placement rate in the finance world, etc.

Also, it will go even further if you help to clarify why Columbia seemed to recommend the OR program to candidates that can't make it to their FE program.

 

[alain]

Hey, alain, please read my post carefully.

FE is just a branch of OR. And if you go for the Columbia OR, you don't have to take any supply chain stuff at all if you don't want to!!!:D All you are required to do is to take the 4 math courses. For the rest of the credits, you can just fill them with pure FE classes if you want to specialize in FE.

Thank you.

Thanks for the clarification. Are you an OR student at Columbia now? If you are, could you provide more details about it? Why did you decide to go to OR? Were you an MFE applicant originally that was recommended to go to the OR program? That has been the comments posted on this forum before and a clarification is always welcomed.

 

[Yuriy]

Well, well, well I did not mean to do any harm by saying that many courses are avoidable Anyway, I put a big smile at the end.

Before giving my opinion about OR, I would like to say a couple of things about "FE is just a branch of OR" mentioned by fffk.

FE is NOT a branch of OR, period. FE is an interdisciplinary area combining Applied Math, Computer Science, Finance, Statistics, Operations Research.

What might give you the idea that FE is a branch of OR is that FE is usually offered by the departments that offer OR degrees. But this does not make FE a part of OR. Financial Math is usually offered by Math departments. It just looks more natural when an engineering department offers a degree in financial engineering and a math department offers a degree in financial math. However, at Baruch, FE is offered by the Math department and has almost no OR component.

For a definition of Financial Engineering we can refer to the book by Salih Neftci "Priciples of Financial Engineering" and check the contents of the book. It is a book about "how to ENGINEER different ways of making money using math, computer and finance". I would rather say that it is more about applied math than about OR

What defines Financial Engineering and what separates it from Financial Math is that students are actually doing some real-world finance and are taught by real-world finance professionals rather than studying mathematical models and are taught by math faculty.

Now back to OR. When I said "it is a degree in OR in the end" I meant that you have to be responsible for knowing your major subject in the first place. That is, if your degree is in OR, you must be able to talk to OR professionals in the first place. Otherwise, it sounds unusual when an OR graduate does not know simplex method, queueing theory, simulations, max flow/min cost/shortest path algorithms [similar to FE being familiar with Black Scholes, Finite Difference, Girsanov words] So if you major in OR, your first job is to learn all these things to become an OR specialist, and only after that take electives in FE. If I were to go get a degree in OR at Columbia, I would make sure I take at least 6-8 courses in OR and then take electives in FE. As I mentioned before, some financial companies look for OR people, so it is great when OR skills are used in finance. What is not great is when you go for OR but study music instead

Regarding Poly's FE program. I have a feeling that they named it FE just because Poly is an engineering school. Also... since Poly was mentioned, I've heard that Poly might close its FE program after merging with NYU.

Finally, regarding "do you really know what OR is" yes, I do know. In fact, I know it too well (was even accepted into a PhD program in OR), and would like to have at least one OR course in Baruch's FE curriculum.

 

[Telecaster]

Thanks for the info.
Could you also enlighten us on Mathematical Finance vs OR with specialization in FE? Is the former just a course they created to get some easy cash or is it actually reputable? How is it viewed from within Columbia?

 

[bigbadwolf]

If you do further research, you will find out FE, which is a relatively new subject, is just a branch of OR, which is a much more broader subject. FYI, some of the "facts" are listed below.

One can argue that neither are "subjects" but merely hodge-podges of topics, with some degree of overlap. OR tends to centre around linear, non-linear, dynamic, and integer programming, with simulation, queueing theory, statistics, and some computer programming thrown in. Difficult to define the subject since it has no internal coherence. The same charge of lack of coherence can be made for FE.

 

[fffk]

Thank you for your big smiles and the very informative reply, Yuriy. I really like this community . Hope I can have the opportunity to meet you one day, Yuriy. I really enjoy the discussion with you.

To Andy and alain,
I am currently an undergraduate student majoring in engineering. I am just presenting part of my research in graduate school, such as schools, programs, etc. Personally, I also have friends from both the Columbia FE and OR programs. I am taking one operations research course as elective this semester.

To Yuriy,
Thank you again for taking your time to write this very informative post. Also, thank you for your big smiles. I apologize if I have offended you.
However, I still have several questions regarding OR here. Would you please mind taking a look at them? Thanks.

1, You mentioned
"FE is an interdisciplinary area combining Applied Math, Computer Science, Finance, Statistics, Operations Research."
&
"For a definition of Financial Engineering we can refer to the book by Salih Neftci "Priciples of Financial Engineering" and check the contents of the book. It is a book about "how to ENGINEER different ways of making money using math, computer and finance". I would rather say that it is more about applied math than about OR "

I remember that OR itself is a branch of applied math. Here is the something about OR from Wiki,
"Operations Research (OR) in the US, and Operational Research in the UK, is an interdisciplinary branch of applied mathematics which uses methods like mathematical modeling, statistics, and algorithms to arrive at optimal or good decisions in complex problems which are concerned with optimizing the maxima (profit, faster assembly line, greater crop yield, higher bandwidth, etc) or minima (cost loss, lowering of risk, etc) of some objective function. The eventual intention behind using operations research is to elicit a best possible solution to a problem mathematically, which improves or optimizes the performance of the system."

So according to Wiki, OR itself is also an interdisciplinary subject and a branch of applied math. Is it the reason why some math professors telling me FE is just a branch of OR?

2, If FE is not a branch of OR, why doesn't Cornell just give their FE student a M.Eng. in FE directly instead of a certificate of FE. If OR and FE are such a different subject, how can those Cornell FE student get a degree called M.Eng in Operations Research? I think they really should complain to the school of OR at Cornell. For Columbia, their IEOR undergraduates can major either in OR and IE. Why only those OR majors are allowed to have the concentration of FE? If it is just a minor, why don't they also give the IE guys the option. Here is link about the Columbia undergraduate OR: FE program. (http://www.ieor.columbia.edu/pages/undergraduate/financial_eng/index.html) If OR & FE are that different from each other, why does Columbia use word "concentration" when they are introducing FE to their undergraduate OR students? They should just use the word "minor" instead.

3, You mentioned
"Otherwise, it sounds unusual when an OR graduate does not know simplex method, queueing theory, simulations, max flow/min cost/shortest path algorithms "

As far as what I have learned in my undergraduate OR class, OR could be divided into three catalogs: optimization, simulation and forecasting. "Simplex method" is part of the optimization catalog. And we can use this method to solve those max flow/min cost/shortest path problems. We have not covered anything in queuing theory yet. So I don't know which catalog it belongs to. I also heard one of my PhD friends in EE was also taking a course in queuing theory.

The following paragraph is from the Columbia IEOR website (link: M.S. Operations Research)

The master of science in the Operations Research program (30 points) is designed to enable students to concentrate their studies in methodological areas such as mathematical programming, stochastic models, and simulation. The department offers a variety of domain specific courses in areas including logistics, supply chain management, revenue management, risk management, and financial engineering.

I believe the respectable professors at Columbia IEOR department know how to make sure their OR students could talk to the OR professionals after their graduations. Those "must-known"s for OR students should be included in the 4 required math courses already. After all, OR itself is just a branch of applied math. After finishing the 4 required courses, the OR students could specialize in anything they want, it could be one of the following domains: logistics, supply chain management, revenue management, risk management, and financial engineering. If FE is not a branch of OR, why do the faculty at IEOR department use the word "domain" in the above paragraph which I cited from their website.

Thank you for your time, everyone. And special salute to Yuriy. I enjoy the discussion with you.

 

[alain]

... If FE is not a branch of OR, why do the faculty at IEOR department use the word "domain" in the above paragraph which I cited from their website. ...

it is call Marketing . They are trying to market their business and buzzwords are a very very good way of doing so.

 

[Yuriy]

Well nice post, fffk sorry I don't know your name

1. I was using my own definition of Applied Math - meaning numerical methods, differential equations, linear algebra, etc excluding OR - when saying that FE combines parts of several areas. If your definition of Applied Math includes OR then my statement still means the same (I just underlined that OR pieces are also included, not just some parts of Applied Math). The point of that sentence was that FE is not a subset of OR only but an intersection of several sets one of the sets being OR.
Repeating what Alain said, professors say FE is a part of OR to market the program. If FE was part of OR, then all FE skills could be learned in OR program. But this is false you need to know C++ and PDEs (at least), and they are not taught in OR.

more to follow

 

[Andy Nguyen]

This thread starts to look like it's raining .... smilies
Don't overuse the smilies people. Plenty of members read Quantnet at work and if the screen is full of smilies, it looks like they are either chatting or visit some kiddie sites.

 

[Yuriy]

Keeping in mind what Andy said, imagine smiles at the end of every 3rd or 5th sentence

2. continuation...

If FE is not a branch of OR, why doesn't Cornell just give their FE student a M.Eng. in FE directly instead of a certificate of FE. If OR and FE are such a different subject, how can those Cornell FE student get a degree called M.Eng in Operations Research?

I'm not sure I follow your question (especially the second part), but here is what I understood.
As I mentioned before, FE has OR component, so an OR program can offer a few FE courses and those courses can be combined into a certificate. But if you want to offer a degree in FE, you need faculty who know more than just OR but are also knowledgeable in areas of programming, PDEs, etc.
But I don't quite follow what you mean by 'how can those FE students get a degree in OR'. Is this what is actually happening? Students enter a program in FE but wind up getting degrees in OR? Please clarify your question.

For Columbia, their IEOR undergraduates can major either in OR and IE. Why only those OR majors are allowed to have the concentration of FE? If it is just a minor, why don't they also give the IE guys the option.

As far as I understand, IE majors study industrial applications (things like how to make a factory run better through better supplies, cheaper labor costs, etc), so there is not much [from what IEs study] that can be used in finance. However, OR students take courses in linear and quadratic programming, simulations, stochastic processes -- all these and many more can be used in finance.
The point is that OR degree includes more courses relevant to FE than IE does, so OR students can concentrate in FE. For example, while taking a course in simulations, instead of a supermarket simulation they will be pricing options.

If OR & FE are that different from each other, why does Columbia use word "concentration" when they are introducing FE to their undergraduate OR students? They should just use the word "minor" instead.

I'm not an expert on this.

3. regarding my opinion on a degree in OR
What I meant was that 4 courses in OR are not enough to justify your degree in OR if everything else you are taking is related to finance.
If I were a recruiter looking at a resume that says "MS in OR", I would first test your knowlege in OR area.

No smiles, Andy

 

[Prateek Bhatia]

From whatever I have read, the Columbia MSOR program does allow you to study a lot of FE courses. So from the knowledge point of view you may not miss out on that much. Lets discuss this aspect with a bit more detail

I am posting a description of the some of the courses which you can and cannot take.

Those related to FE which you can take under CU- MSOR :-

Introduction To Financial Engineering
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.


Pricing Models for Financial Engineering
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).

Applied Financial Engineering
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

Quantitative Risk Management
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.

Applications Programming for 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 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.


Those which you cannot take :-


Monte Carlo Simulation
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.

Financial Engineering: Discrete-Time Asset Pricing
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.

Financial Engineering: Continuous-Time Asset Pricing
Modeling, analysis, and computation of derivative securities. Applications of stochastic calculus and stochastic differential equations. Numerical techniques: finite-difference, binomial method, and Monte Carlo.

Data Analysis for Financial Engineering
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.

These are just the main ones. I have pasted all this from
Graduate Courses

However, when i spoke to some of the current students they said that even though some courses are labeled FE only, OR students were allowed to take them. This is what had happened last year. Also they said that although knowledge wise CU-MSOR is almost same as FE, when it comes to placements FE students are given priority there.

Comparing with your own programs, do you all think that an MSOR student from Columbia can gain sufficient knowledge to put him on par with FE students ?( assuming that the courses mentioned FE only as described above are out of bounds)

The question is highly subjective but I would love to hear your comments on this.

 

[Prateek Bhatia]

The discussions seems to have halted here. Cmon everyone. What do you think about this Columbia MSOR business? Do you think from the knowledge point of view a student studying the courses described below can be considered relatively on par with FE students?

I have an admit from there and my biggest concern is if I can learn enough to be considered apt for an entry level quant position. (I know you all don't like to give subjective judgments of programs but I am requesting you to comment on a single well defined criteria here.)

 

[galinka]

I think that if something is studied in more than one discipline, you can't really tell which on it "belongs" to. Lets look at knowledge and science as a holistic concept.

and i won't break the pattern of the thread

 

[DominiConnor]

I fear that fffk may be being a little over sensitive. I am not aware of any serious attacks on the OR course, certainly I have not made any. Perhaps indeed some people have got it wrong in detail which is more forgivable, since most programs are very short on published detail.

Quote: "If you do further research, you will find out FE, which is a relatively new subject, is just a branch of OR, which is a much more broader subject. FYI, some of the "facts" are listed below."

An interesting assertion, I like to think I have some knowledge of finance, and am aware that FE has taken ideas and techniques from physics, computer science and gambling. Some FE techniques pre-date the emergence of OR as a distinct area.

 

[financeguy]

shedding light on Columbia's MSOR

I'd like to shed a little light on the MSOR program at Columbia. I am a student in it and so I know a little bit about it. First, it is absolutely true that there is a great deal of flexibility within the program. Not only are we allowed to fill up with as many FE courses as we want (excepting those that are for FE only - and even then there are exceptions to the rule), but we are also allowed to take up to 1 business school course (including finance courses among others) per semester and are permitted to take electives from the mathematics, statistics, economics, and international affairs departments. Those are only the suggestions; theoretically we could take some electives from wherever else we can get permission from an advisor (but at some point each student must remind him/herself that he or she is pursuing an OR degree).
Personally, I'm sticking with OR, FE, finance, and math. In my case, it was helpful to place out of the probability and statistics requirement as well as the intro to financial engineering course, and get permission to take courses which normally require stochastic modelling as a prerequisite in tandem with stochastics due to my coursework in undergrad. This way you can delve right into the FE courses along with the MSFE students without skipping a beat. Remember, the MSOR is 2 semesters long (generally) and begins in the fall, while the MSFE is 36 credits and begins in the summer - this is how Columbia would usually squeeze MSOR students out of FE courses, as they would normally have to take the prereqs in the fall and then just one course out of those prereqs in the spring and that's it. So if you are going to the OR program and want to get as much FE as possible, make sure you get transfer credit from undergrad before you start the program or you'll be stuck.
Now as for job placement, there are two things working against us here. First, it is clear that if you're going for Wall Street jobs, from both Columbia's and employers' standpoints, FE students are getting priority. That doesn't mean OR students don't get these jobs though. You just have to differentiate yourself from the pack a little bit. Maybe start up on the CFA, get some great summer internships or part-time jobs through the year. Get as involved as you can and work harder than everyone else, and at the end of the day that will be more important than the MSOR with FE specialization / straight up MSFE distinction. And there is one other thing that you find out that negatively affects BOTH OR and FE students, and I have not seen this on any forums yet.
Almost nobody here is American - except for maybe 3 or 4 students out of about 200 (including IE and EMS). Students are mainly Chinese, Indian, and French. Don't be offended by this; this is just how it is. A point that both speakers made on the first day of orientation was that a lot of students were losing out on jobs simply because their English was not up to par. We were told that employers generally regarded all of us as well-prepared for the industry but simply couldn't hire us in NYC because that would require excellent communication skills in English. So my last bit of advice here is for everyone coming to these programs from abroad and planning to work in the states - become fluent in English.