STSCI 5630

Last Updated

  • Schedule of Classes - January 15, 2024 7:50PM EST
  • Course Catalog - January 15, 2024 7:28PM EST

STSCI 5630
Operations Research Tools for Financial Engineering

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 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

  •  8247 STSCI 5630   LEC 001

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    • MW Olin Hall 165
    • Aug 21 - Dec 4, 2023

    • Ruppert, D

  • Instruction Mode: In Person

  •  8248 STSCI 5630   DIS 202

  •  

  • Instruction Mode: In Person

  •  8249 STSCI 5630   DIS 203

  •  

  • Instruction Mode: In Person