## Oper Res and Financial Engr

- ORF 245/EGR 245: Fundamentals of StatisticsA first introduction to probability and statistics. This course will provide background to understand and produce rigorous statistical analysis including estimation, confidence intervals, hypothesis testing and regression. Applicability and limitations of these methods will be illustrated in the light of modern data sets and manipulation of the statistical software R. Precepts are based on real data analysis.
- ORF 307/EGR 307: OptimizationThis course focuses on analytical and computational tools for optimization. We will introduce least-squares optimization with multiple objectives and constraints. We will also discuss linear optimization modeling, duality, the simplex method, degeneracy, interior point methods and network flow optimization. Finally, we will cover integer programming and branch-and-bound algorithms. A broad spectrum of real-world applications in engineering, finance and statistics is presented.
- ORF 309/EGR 309/MAT 380: Probability and Stochastic SystemsAn introduction to probability and its applications. Topics include: basic principles of probability; Lifetimes and reliability, Poisson processes; random walks; Brownian motion; branching processes; Markov chains.
- ORF 311: Stochastic Optimization and Machine Learning in FinanceA survey of quantitative approaches for making optimal decisions under uncertainty, including decision trees, Monte Carlo simulation, and stochastic programs. Forecasting and planning systems are integrated in the context of financial applications. Machine learning methods are linked to the stochastic optimization models.
- ORF 335/ECO 364: Introduction to Financial MathematicsFinancial Mathematics is concerned with designing and analyzing products that improve the efficiency of markets, and create mechanisms for reducing risk. This course develops quantitative methods for these goals: the notions of arbitrage and risk-neutral pricing in discrete time, specific models such as Black-Scholes and Heston in continuous time, and calibration to market data. Credit derivatives, the term structure of interest rates, and robust techniques in the context of volatility options will be discussed, as well as lessons from the financial crisis.
- ORF 350: Analysis of Big DataThis course is a theoretically oriented introduction to the statistical tools that underpin modern machine learning, whose hallmarks are large datasets and/or complex models. Topics include a rigorous analysis of dimensionality reduction, a survey of models ranging from regression to neural networks, and an analysis of learning algorithms.
- ORF 363/COS 323: Computing and Optimization for the Physical and Social SciencesAn introduction to several fundamental and practically-relevant areas of modern optimization and numerical computing. Topics include computational linear algebra, first and second order descent methods, convex sets and functions, basics of linear and semidefinite programming, optimization for statistical regression and classification, and techniques for dealing with uncertainty and intractability in optimization problems. Extensive hands-on experience with high-level optimization software. Applications drawn from operations research, statistics and machine learning, economics, control theory, and engineering.
- ORF 376: Independent Research ProjectIndependent research or investigation resulting in a report in the student's area of interest under the supervision of a faculty member. Open to sophomores and juniors.
- ORF 407: Fundamentals of Queueing TheoryThis is an introduction to the stochastic models inspired by the dynamics of resource sharing. Topics discussed include: early motivating communication systems (telephone and computer networks); modern applications (call centers, healthcare operations, and urban planning for smart cities); and key formulas (from Erlang blocking and delay to Little's law). We also review supporting stochastic theories like equilibrium Markov chains along with Markov, Poisson and renewal processes.
- ORF 445: High Frequency Markets: Models and Data AnalysisAn introduction to the theory and practice of high frequency trading in modern electronic financial markets. We give an overview of the institutional landscape and basic empirical features of modern equity, futures, and fixed income markets. We discuss theoretical models for market making and price formation. Then we dig into detailed empirical aspects of market microstructure and how these can be used to construct effective trading strategies. Course work will be a mixture of theoretical and data-driven problems. Programming environment will be a mixture of the R statistical environment, with the Kdb database language.
- ORF 474: Special Topics in Operations Research and Financial Engineering: Network Game TheoryAn introduction to network games. Topics will include: A crash course on state games, introduction to graph theory and network games, games with incomplete information and auctions, non-atomic games, signals and correlated equilibria.
- ORF 478: Senior ThesisA formal report on research involving analysis, synthesis, and design, directed toward improved understanding and resolution of a significant problem. The research is conducted under the supervision of a faculty member, and the thesis is defended by the student at a public examination before a faculty committee. The senior thesis is equivalent to a year-long study and is recorded as a double course in the Spring.
- ORF 479: Senior ProjectStudents conduct a one-semester project. Topics chosen by students with approval of the faculty. A written report is required at the end of the term.
- ORF 504/FIN 504: Financial EconometricsEconometric and statistical methods as applied to finance. Topics include: Asset returns and efficient markets, linear time series and dynamics of returns, volatility models, multivariate time series, efficient portolios and CAPM, multifactor pricing models, portfolio allocation and risk assessment, intertemporal equilibrium models, present value models, simulation methods for financial derivatives, econometrics of continuous time finance.
- ORF 510: Directed Research IIUnder the direction of a faculty member, each student carries out research and presents the results. Directed Research II has to be taken before the General Exam.
- ORF 515/FIN 503: Asset Pricing II: Stochastic Calculus and Advanced DerivativesThe course covers the pricing and hedging of advanced derivatives, including topics such as exotic options, greeks, interest rate and credit derivatives, as well as risk management. The course further covers basics of stochastic calculus necessary for finance. Designed for Masters students.
- ORF 523: Convex and Conic OptimizationA mathematical introduction to convex, conic, and nonlinear optimization. Topics include convex analysis, duality, theorems of alternatives and infeasibility certificates, semidefinite programming, polynomial optimization, sum of squares relaxation, robust optimization, computational complexity in numerical optimization, and convex relaxations in combinatorial optimization. Applications drawn from operations research, dynamical systems, statistics, and economics.
- ORF 525: Statistical Foundations of Data ScienceA theoretical introduction to statistical machine learning for data science. It covers multiple regression, kernel learning, sparse regression, high dimensional statistics, sure independent screening, generalized linear models, covariance learning, factor models, principal component analysis, supervised and unsupervised learning, deep learning, and related topics such as community detection, item ranking, and matrix completion.These methods are illustrated using real world data sets and manipulation of the statistical software R.
- ORF 527: Stochastic CalculusThis course is an introduction to stochastic calculus for continuous processes. The main topics covered are: construction of Brownian motion, continuous time martingales, Ito integral, localization, Ito calculus, stochastic differential equations. Girsanov theorem, martingale representation, Feynman-Kac formula. If time permits, a brief introduction to stochastic control will be given.
- ORF 545/FIN 545: High Frequency Markets: Models and Data AnalysisAn introduction to the microstructure of modern electronic financial markets and high frequency trading strategies. Topics include market structure and optimization techniques used by various market participants, tools for analyzing limit order books at high frequency, and stochastic dynamic optimization strategies for trading with minimal market impact at high and medium frequency. The course makes essential use of high-frequency futures data, accessed using the Kdb+ database language. Graduate credit requires completion of extended and more sophisticated homework assignments.
- ORF 550/APC 550: Topics in Probability: Probability in High DimensionAn introduction to nonasymptotic methods for the study of random structures in high dimension that arise in probability, statistics, computer science, and mathematics. Emphasis is on developing a common set of tools that has proved to be useful in different areas. Topics may include: concentration of measure; functional, transportation cost, martingale inequalities; isoperimetry; Markov semigroups, mixing times, random fields; hypercontractivity; thresholds and influences; Stein's method; suprema of random processes; Gaussian and Rademacher inequalities; generic chaining; entropy and combinatorial dimensions; selected applications.