ORIE 4630

Last Updated

  • Schedule of Classes - January 7, 2018 7:14PM EST
  • Course Catalog - January 7, 2018 7:15PM EST

ORIE 4630
Operations Research Tools for Financial Engineering

Course information provided by the Courses of Study 2017-2018.

Introduction to the applications of OR techniques, e.g., probability, statistics, and optimization, to finance and financial engineering. The course reviews probability and statistics and surveys assets returns, ARIMA time series models, portfolio selection using quadratic programming, regression, CAPM and factor models, option pricing, GARCH models, fixed-income securities, and resampling techniques. Covers the use of R for statistical calculations, simulation, and optimization.

When Offered Fall.

Prerequisites/Corequisites Prerequisite: engineering math through MATH 2940, ENGRD 2700 and ORIE 3500, and knowledge of R and multiple linear regression equivalent to ORIE 3120. No previous knowledge of finance required.

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Syllabi:

  •   Regular Academic Session. 

  • 3 Credits Stdnt Opt

  • 11659 ORIE 4630   LEC 001

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