ORIE 5630

ORIE 5630

Course information provided by the Courses of Study 2022-2023.

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 3500, ORIE 3120.

View Enrollment Information

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

  • 4 Credits Stdnt Opt

  • 10205 ORIE 5630   LEC 001

    • MW To Be Assigned
    • Aug 22 - Dec 5, 2022
    • Ruppert, D

  • Instruction Mode: In Person
    Undergraduate students should enroll in ORIE 4630.

  • 10206 ORIE 5630   DIS 202

    • T To Be Assigned
    • Aug 22 - Dec 5, 2022
    • Ruppert, D

  • Instruction Mode: In Person

  • 10207 ORIE 5630   DIS 203

    • R To Be Assigned
    • Aug 22 - Dec 5, 2022
    • Ruppert, D

  • Instruction Mode: In Person