STSCI 5640

Last Updated

  • Schedule of Classes - July 2, 2025 11:52AM EDT
  • Course Catalog - March 17, 2025 8:31AM EDT

STSCI 5640
Statistics for Financial Engineering

Course information provided by the 2024-2025 Catalog. Courses of Study 2024-2025 is scheduled to publish mid-June.

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/Corequisites Prerequisite: ORIE 3500/ORIE 5500, ORIE 4600 or ORIE 4630 or ORIE 5600 (highly recommended).

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

When Offered Spring.

View Enrollment Information

Syllabi: none

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

  • 4 Credits Graded

  • 19875 STSCI 5640   LEC 001

  •  
    • W
    • Jan 21 - May 6, 2025

    • Matteson, D

  • Instruction Mode: In Person

  • 19876 STSCI 5640   DIS 201

  •  
    • F
    • Jan 21 - May 6, 2025

    • Matteson, D

  • Instruction Mode: In Person