STSCI 4630

Last Updated

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

STSCI 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.

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Syllabi:

  •   Regular Academic Session.  Combined with: ORIE 4630

  • 3 Credits Stdnt Opt

  • 18447 STSCI 4630   LEC 001

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