ORIE 5630
Last Updated
- Schedule of Classes - January 15, 2024 7:50PM EST
- Course Catalog - January 15, 2024 7:28PM EST
Classes
ORIE 5630
Course Description
Course information provided by the Courses of Study 2023-2024.
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.
Regular Academic Session. Choose one lecture and one discussion. Combined with: ORIE 4630, STSCI 4630, STSCI 5630
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Credits and Grading Basis
4 Credits Stdnt Opt(Letter or S/U grades)
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Class Number & Section Details
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Meeting Pattern
- MW Olin Hall 165
- Aug 21 - Dec 4, 2023
Instructors
Ruppert, D
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Additional Information
Instruction Mode: In Person
Undergraduate students should enroll in ORIE 4630.
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Class Number & Section Details
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Meeting Pattern
- T Frank H T Rhodes Hall 453
- Aug 21 - Dec 4, 2023
Instructors
Ruppert, D
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Additional Information
Instruction Mode: In Person
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Class Number & Section Details
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Meeting Pattern
- R Frank H T Rhodes Hall 453
- Aug 21 - Dec 4, 2023
Instructors
Ruppert, D
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Additional Information
Instruction Mode: In Person
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