STSCI 5630
Last Updated
- Schedule of Classes - August 2, 2023 12:50PM EDT
- Course Catalog - April 3, 2023 12:59PM EDT
Classes
STSCI 5630
Course Description
Course information provided by the Courses of Study 2022-2023. Courses of Study 2022-2023 is scheduled to publish mid-June.
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.
When Offered Fall.
Prerequisites/Corequisites Prerequisite: MATH 2940, ENGRD 2700, ORIE 3120, ORIE 3500.
Regular Academic Session. Choose one lecture and one discussion. Combined with: ORIE 4630, ORIE 5630, STSCI 4630
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Credits and Grading Basis
4 Credits Stdnt Opt(Letter or S/U grades)
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Class Number & Section Details
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Meeting Pattern
- MW
- Aug 22 - Dec 5, 2022
Instructors
Ruppert, D
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Additional Information
Instruction Mode: In Person
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Class Number & Section Details
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Meeting Pattern
- T
- Aug 22 - Dec 5, 2022
Instructors
Ruppert, D
-
Additional Information
Instruction Mode: In Person
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