STSCI 5630

STSCI 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 3120, ORIE 3500.

View Enrollment Information

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

  • 4 Credits Stdnt Opt

  • 10346 STSCI 5630   LEC 001

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

  • Instruction Mode: In Person

  • 10347 STSCI 5630   DIS 202

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

  • Instruction Mode: In Person

  • 10348 STSCI 5630   DIS 203

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

  • Instruction Mode: In Person