STSCI 4630

STSCI 4630

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.

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Enrollment Information
Syllabi: 1 available
  •   Regular Academic Session.  Combined with: ORIE 4630

  • 3 Credits Stdnt Opt