ORIE 4630 - Operations Research Tools for Financial Engineering

Fall. 3 credits.

Prerequisites: engineering math through MATH 2940, ENGRD 2700 and ORIE 3500, and knowldge of R and multiple linear regression equivalent to ORIE 3120. No previous knowledge of finance required.

Staff.

Introduction to the applications of OR techniques, e.g., probability, statistics, and optimization, to finance and financial engineering. First reviews probability and statistics and then surveys assets returns, ARIMA time series models, portfolio selection, regression, CAPM, option pricing, GARCH models, fixed-income securities, resampling techniques, and behavioral finance. Also covers the use of MATLAB, MINITAB, and SAS for computation.

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