ORIE 5640

Last Updated

  • Schedule of Classes - June 19, 2018 12:09PM EDT
  • Course Catalog - March 23, 2018 2:31PM EDT

ORIE 5640
Statistics for Financial Engineering

Course information provided by the 2017-2018 Catalog.

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.


Prerequisites/Corequisites Prerequisite: ORIE 3500/ORIE 5500.  At least one of ORIE 4600, ORIE 4630, or ORIE 5600 highly recommended.

When Offered Spring.

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Syllabi: none

  •   Regular Academic Session.  Choose one lecture and one discussion. Combined with: STSCI 5640

  • 4 Credits Graded

  • 10580 ORIE 5640   LEC 001

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  • Instruction Mode: In Person

  • 10581 ORIE 5640   DIS 201

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  • Instruction Mode: In Person