ORIE 4630

Last Updated

  • Schedule of Classes - February 7, 2022 7:27PM EST
  • Course Catalog - February 7, 2022 7:14PM EST

ORIE 4630
Operations Research Tools for Financial Engineering

Course information provided by the Courses of Study 2021-2022.

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.  Choose one lecture and one discussion. Combined with: ORIE 5630, STSCI 4630, STSCI 5630

  • 4 Credits Stdnt Opt

  • 11298 ORIE 4630   LEC 001

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  • Instruction Mode: In Person
    MEng students must enroll in ORIE 5630.

  • 17876 ORIE 4630   DIS 201

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  • Instruction Mode: In Person

  • 19088 ORIE 4630   DIS 204

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    • F Upson Hall 222
    • Aug 26 - Dec 7, 2021

    • Ruppert, D

  • Instruction Mode: In Person