ORIE 5640

Last Updated

  • Schedule of Classes - October 15, 2026 7:07PM EDT

ORIE 5640
Statistics for Financial Engineering

Course information provided by the 2026-2027 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 background equivalent to: ORIE 3500 or ORIE 5500; ORIE 4600 or ORIE 4630 or ORIE 5600.

Enrollment Information Primarily for: Financial Engineering Master of Engineering (MEng) students.

Last 4 Terms Offered 2026SP, 2025SP, 2024SP, 2023SP

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Syllabi: none

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

  • 4 Credits Graded

  • 15487 ORIE 5640   LEC 001

  •  
    • TR
    • Jan 25 - May 11, 2027

    • Goldberg, D

  • Instruction Mode: In Person

    Enrollment limited to: Operations Research and Information Engineering (ORIE) Master of Engineering (MEng) students. Other graduate students may enroll during Add/Drop if space permits.

  • 15488 ORIE 5640   DIS 201

  •  
    • F
    • Jan 25 - May 11, 2027

    • Goldberg, D

  • Instruction Mode: In Person