ORIE 4630

ORIE 4630

Course information provided by the Courses of Study 2020-2021. Courses of Study 2021-2022 is scheduled to publish by July 1.

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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Enrollment Information
Syllabi: none
  •   Regular Academic Session.  Choose one lecture and one discussion. Combined with: ORIE 5630STSCI 4630

  • 4 Credits Stdnt Opt

  • 11298ORIE 4630  LEC 001

    • MWTo Be Assigned
    • Aug 26 - Dec 7, 2021
    • Ruppert, D

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

  • 17876ORIE 4630  DIS 201

  • Instruction Mode: Planned for In Person

  • 19088ORIE 4630  DIS 204

  • Instruction Mode: Planned for In Person