ORIE 4630
Course description (from class roster):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.
Offered: Fall.
Prerequisites: Engineering math through MATH 2940 (so MATH 1910, 1920, and 2940), ENGRD 2700, ORIE 3500, knowledge of R (although the basics are reviewed in class), knowledge of multiple linear regression on the level of ORIE 3120. No previous knowledge of finance required.