STSCI 5630

Last Updated

  • Schedule of Classes - June 11, 2025 2:48PM EDT

STSCI 5630
Operations Research Tools for Financial Engineering

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.


Last 3 terms offered 2024FA, 2023FA, 2022FA

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Syllabi: none

  •   Regular Academic Session.  Choose one lecture and one discussion. Combined with: ORIE 4630, ORIE 5630, STSCI 4630

  • 4 Credits Opt NoAud

  •  5201 STSCI 5630   LEC 001

  •  
    • MW
    • Aug 25 - Dec 8, 2025

    • Ruppert, D

  • Instruction Mode: In Person

  •  5202 STSCI 5630   DIS 202

  •  
    • T
    • Aug 25 - Dec 8, 2025

    • Ruppert, D

  • Instruction Mode: In Person

  •  5203 STSCI 5630   DIS 203

  •  
    • R
    • Aug 25 - Dec 8, 2025

    • Ruppert, D

  • Instruction Mode: In Person