STSCI 5640

STSCI 5640

Course information provided by the Courses of Study 2022-2023.

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 Prerequisite: ORIE 3500/ORIE 5500, ORIE 4600 or ORIE 4630 or ORIE 5600 (highly recommended).

View Enrollment Information

Syllabi: none
  •   Regular Academic Session.  Choose one lecture and one discussion. Combined with: ORIE 5640

  • 4 Credits Stdnt Opt

  • 18913 STSCI 5640   LEC 001

  • Instruction Mode: In Person
    Enrollment restricted to graduate students.

  • 19225 STSCI 5640   DIS 201

  • Instruction Mode: In Person

  • 19662 STSCI 5640   DIS 202

  • Instruction Mode: In Person