Courses of Study 2018-2019 
    
    Mar 29, 2024  
Courses of Study 2018-2019 [ARCHIVED CATALOG]

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ORIE 5640 - Statistics for Financial Engineering

(crosslisted) STSCI 5640  
     
Spring. 4 credits. Letter grades only.

Prerequisite: ORIE 3500 /ORIE 5500 .  At least one of ORIE 4600 , 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.



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