ORIE 4630

Last Updated

  • Schedule of Classes - June 2, 2019 7:14PM EDT
  • Course Catalog - June 2, 2019 7:15PM EDT

ORIE 4630
Operations Research Tools for Financial Engineering

Course information provided by the Courses of Study 2018-2019.

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 Spring.

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.

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Syllabi:

  •   Regular Academic Session.  Combined with: STSCI 4630

  • 3 Credits Stdnt Opt

  • 16821 ORIE 4630   LEC 001

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