STSCI 5630

Last Updated

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

STSCI 5630
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: MATH 2940, ENGRD 2700, ORIE 3120, ORIE 3500.

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Syllabi:

  •   Regular Academic Session.  Choose one lecture and one discussion. Combined with: ORIE 4630, ORIE 5630, STSCI 4630

  • 4 Credits Stdnt Opt

  • 19880 STSCI 5630   LEC 001

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  • Instruction Mode: In Person

  • 19881 STSCI 5630   DIS 202

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  • Instruction Mode: In Person

  • 19882 STSCI 5630   DIS 203

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    • F Bard Hall 140
    • Aug 26 - Dec 7, 2021

    • Ruppert, D

  • Instruction Mode: In Person