STSCI 5640

STSCI 5640

Course information provided by the Courses of Study 2015-2016.

Regression, ARIMA, GARCH, stochastic volatility, and factor models. Calibration of financial engineering models. Estimation of diffusion models. Estimation of risk measures. Multivariate models and copulas. Bayesian statistics. Students are instructed in the use of R software; prior knowledge of R is helpful but not required. This course is intended for M.Eng. students in financial engineering and assumes some familiarity with finance and financial engineering. Students not in the financial engineering program are welcome if they have a suitable background. Students with no background in finance should consider taking ORIE 4630 instead.

When Offered Spring.

Prerequisites/Corequisites Prerequisites: ORIE 3500/ORIE 5500 and at least one of ORIE 4600, ORIE 4630, ORIE 5600.

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Enrollment Information
Syllabi: none
  •   Choose one lecture and one discussion. Combined with: ORIE 5640

  • 4 Credits Graded

  • 11949STSCI 5640  LEC 001

  • 11950STSCI 5640  DIS 201