ORIE 5640 - Statistics for Financial Engineering

(crosslisted) STSCI 5640

Spring. 4 credits. Student option grading.

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

Staff.

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.