ORIE 5640
Last Updated
- Schedule of Classes - March 26, 2025 7:24PM EDT
- Course Catalog - March 26, 2025 7:07PM EDT
Classes
ORIE 5640
Course Description
Course information provided by the Courses of Study 2024-2025.
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.
When Offered Spring.
Permission Note Primarily for: M.Eng students in financial engineering.
Prerequisites/Corequisites Prerequisite: ORIE 3500/ORIE 5500, ORIE 4600 or ORIE 4630 or ORIE 5600 (highly recommended).
Comments Prior knowledge of R is helpful but not required, but some familiarity with finance and financial engineering is expected. 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.
Regular Academic Session. Choose one lecture and one discussion. Combined with: STSCI 5640
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Credits and Grading Basis
4 Credits Graded(Letter grades only)
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Class Number & Section Details
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Meeting Pattern
- W
- Jan 21 - May 6, 2025
Instructors
Matteson, D
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Additional Information
Instruction Mode: In Person