STSCI 4630
Last Updated
- Schedule of Classes - January 8, 2020 7:14PM EST
- Course Catalog - January 8, 2020 7:15PM EST
Classes
STSCI 4630
Course Description
Course information provided by the Courses of Study 2019-2020.
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.
Regular Academic Session. Combined with: ORIE 4630
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Credits and Grading Basis
3 Credits Stdnt Opt(Letter or S/U grades)
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Class Number & Section Details
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Meeting Pattern
- MWF Thurston Hall 203
Instructors
Ruppert, D
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