Courses of Study 2018-2019 
    
    Mar 28, 2024  
Courses of Study 2018-2019 [ARCHIVED CATALOG]

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ORIE 4630 - Operations Research Tools for Financial Engineering


     
Spring. 3 credits. Student option grading.

Prerequisite: engineering math through MATH 2940 , ENGRD 2700  and ORIE 3500 , and knowledge 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. 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.



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