ORIE 5630

Last Updated

  • Schedule of Classes - May 20, 2024 7:35PM EDT
  • Course Catalog - May 20, 2024 7:07PM EDT

ORIE 5630
Operations Research Tools for Financial Engineering

Course information provided by the Courses of Study 2023-2024. Courses of Study 2024-2025 is scheduled to publish mid-June.

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: STSCI 5630

  • 4 Credits Stdnt Opt

  •  7386 ORIE 5630   LEC 001

  •  
    • MW To Be Assigned
    • Aug 26 - Dec 9, 2024

    • Das, S

  • Instruction Mode: In Person

  •  7387 ORIE 5630   DIS 202

  •  
    • T To Be Assigned
    • Aug 26 - Dec 9, 2024

    • Das, S

  • Instruction Mode: In Person

  •  7388 ORIE 5630   DIS 203

  •  
    • R To Be Assigned
    • Aug 26 - Dec 9, 2024

    • Das, S

  • Instruction Mode: In Person