ORIE 4630

Last Updated

  • Schedule of Classes - November 21, 2024 7:58PM EST
  • Course Catalog - November 21, 2024 7:07PM EST

ORIE 4630
Operations Research Tools for Financial Engineering

Course information provided by the Courses of Study 2024-2025.

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: engineering math through MATH 2940, ENGRD 2700 and ORIE 3500, and knowledge of R and multiple linear regression equivalent to ORIE 3120. No previous knowledge of finance required.

Distribution Category (OPHLS-AG)

View Enrollment Information

Syllabi: none

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

  • 4 Credits Stdnt Opt

  • 19999 ORIE 4630   LEC 001

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  • Instruction Mode: In Person

  • 20003 ORIE 4630   DIS 201

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  • Instruction Mode: In Person

  • 20004 ORIE 4630   DIS 204

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  • Instruction Mode: In Person