STSCI 5630

Operations Research Tools for Financial Engineering

Course Description

Course information provided by the 2025-2026 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 REF-FA25/Corequisites REF-FA25 MATH 2940, ENGRD 2700, ORIE 3500, ORIE 3120. Corequisites: None.

Last 4 terms offered (None)

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