ORIE 5630 - Operations Research Tools for Financial Engineering

(crosslisted) STSCI 5630

Fall. 4 credits. Student option grading.

Prerequisite: MATH 2940, ENGRD 2700, ORIE 3500, ORIE 3120. Co-meets with ORIE 4630/STSCI 4630.

D. Ruppert.

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.