ORIE 5640

Last Updated

  • Schedule of Classes - October 31, 2025 7:07PM EDT

ORIE 5640
Statistics for Financial Engineering

Course information provided by the 2025-2026 Catalog.

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.


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

Enrollment Priority Primarily for: M.Eng students in financial engineering.

Last 4 Terms Offered 2025SP, 2024SP, 2023SP, 2022SP

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Syllabi: none

  •   Regular Academic Session.  Choose one lecture and one discussion. Combined with: STSCI 5640

  • 4 Credits Graded

  • 13595 ORIE 5640   LEC 001

  •  
    • TR
    • Jan 20 - May 5, 2026

    • Ruppert, D

  • Instruction Mode: In Person

    Enrollment limited to: Operations Research and Information Engineering (ORIE) Master of Engineering (MEng) students. Other graduate students may enroll during Add/Drop if space permits.

  • 13596 ORIE 5640   DIS 201

  •  
    • F
    • Jan 20 - May 5, 2026

    • Ruppert, D

  • Instruction Mode: In Person