ORIE 4630

Operations Research Tools for Financial Engineering

Course Description

Course information provided by the 2016-2017 Catalog.

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.

Prerequisites/Corequisites 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.

When Offered Fall.

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