STSCI 5640

Last Updated

  • Schedule of Classes - September 22, 2025 1:06PM EDT

STSCI 5640
Statistics for Financial Engineering

Course information provided by the 2025-2026 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.


Prerequisites ORIE 3500/ORIE 5500, ORIE 4600 or ORIE 4630 or ORIE 5600 (highly recommended).

Enrollment Priority Primarily for: M.Eng students in financial engineering.

Last 4 Terms Offered 2025SP, 2024SP, 2023SP, 2022SP

View Enrollment Information

Syllabi: none

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

  • 4 Credits Graded

  •  9187 STSCI 5640   LEC 001

  •  
    • W
    • Jan 20 - May 5, 2026

    • Matteson, D

  • Instruction Mode: In Person

  •  9188 STSCI 5640   DIS 201

  •  
    • F
    • Jan 20 - May 5, 2026

    • Matteson, D

  • Instruction Mode: In Person