B.S.E. Operations Research and Financial Engineering

ORF 245 Fundamentals of Statistics (also

EGR 245

ORF 307 Optimization (also

EGR 307

ORF 309 Probability and Stochastic Systems (also

EGR 309

ORF 311 Stochastic Optimization and Machine Learning in Finance Spring This course covers the central topics of stochastic optimization with a focus on financial risk management and associated machine learning concepts. We discuss theory, computational issues, and successful applications of stochastic decision models, mostly for long-term financial planning problems. We solve large stochastic programs to assist with finding the "best" compromise solutions in the face of multiple and conflicting goals. There is attention to applications of machine learning concepts in financial planning systems. Prerequisites: ORF 307 or MAT 305, and 309. Two 90-minute classes, one preceptorial. J. Mulvey

ORF 322 Human-Machine Interaction (See PSY 322)

ORF 335 Introduction to Financial Mathematics (also

ECO 364

ORF 350 Analysis of Big Data Spring QR This course introduces statistical theory and methods for analyzing Big data, including massive data, high dimensional data, stream data, and network data. Topics include Sufficiency Principle, Divide-and-Conquer Principle, Bonferroni Principle, Parsimonious Principle, and Linear-Complexity Principle. Under a likelihood-based framework, three types of analysis are introduced, including Exploratory Analysis, Predictive Analysis, and Inferential Analysis. Example applications include image clustering and anomaly detection, text mining, computational advertisement, scientific data analysis, and data visualization. Staff

ORF 363 Computing and Optimization for the Physical and Social Sciences (also

COS 323

ORF 374 Special Topics in Operations Research and Financial Engineering Not offered this year A course covering special topics in operations research or financial engineering. Subjects may vary from year to year. J. Mulvey

ORF 375 Independent Research Project Fall Independent research or investigation resulting in a substantial formal report in the student's area of interest under the supervision of a faculty member. Open to sophomores and juniors. A. Kornhauser

ORF 376 Independent Research Project Spring Independent research or investigation resulting in a substantial formal report in the student's area of interest under the supervision of a faculty member. Open to sophomores and juniors. A. Kornhauser

ORF 401 Electronic Commerce Spring Electronic commerce, traditionally the buying and selling of goods using electronic technologies, extends to essentially all facets of human interaction when extended to services, particularly information. The course focuses on both the software and the hardware aspects of traditional aspects as well as the broader aspects of the creation, dissemination and human consumption electronic services. Covered will be the physical, financial and social aspects of these technologies. Two 90-minute lectures, one 50-minute preceptorial. A. Kornhauser

ORF 405 Regression and Applied Time Series Fall Statistical Analysis of financial data: Density estimation, heavy tail distributions and dependence. Regression: linear, nonlinear, nonparametric. Time series analysis: classical models (AR, MA, ARMA), state space systems and filtering, and stochastic volatility models (ARCH, GARCH). Prerequsites: ORF 245 and MAT 202. Staff

ORF 406 Statistical Design of Experiments Not offered this year Major methods of statistics as applied to the engineering and physical sciences. The central theme is the construction of empirical models, the design of experiments for elucidating models, and the applications of models for forecasting and decision making under uncertainty. Three lectures. Prerequisite: 245 or equivalent. Staff

ORF 407 Fundamentals of Queueing Theory Spring QR An introduction to the fundamental results of queuing theory. Topics covered include: the classical traffic, offered load, loss, and delay models for communication systems. The theory of Markov chains, Poisson processes, and renewal theory are discussed through concrete examples and motivations. Fundamental queuing results such as the Erlang blocking and delay formulae, Jackson networks, Little's law and Lindley's equation are presented. Applications are drawn from classical problems in voice and data network performance, to modern issues in healthcare operations. Prerequisite: ORF 309 or equivalent. Two 90-minute lectures. W. Massey

ORF 409 Introduction to Monte Carlo Simulation Fall Introduction to the uses of simulation and computation in the analysis of stochastic models and interpreting real phenomena. Topics include generating discrete and continuous random variables, the statistical analysis of simulated data, variance reduction techniques, statistical validation techniques, stochastic ordering, nonstationary Markov chains, and Markov chain Monte Carlo methods. Applications are drawn from problems in finance, insurance, manufacturing, and communication networks. Students will be encouraged to program in Python. Precept offered to help students with the language. Prerequisite: ORF 309. Two 90-minute lectures. W. Massey

ORF 411 Sequential Decision Analytics and Modeling (also

ELE 411

ORF 417 Dynamic Programming Not offered this year An introduction to stochastic dynamic programming and stochastic control. The course deals with discrete and continuous-state dynamic programs, finite and infinite horizons, stationary and nonstationary data. Applications drawn from inventory management, sequential games, stochastic shortest path, dynamic resource allocation problems. Solution algorithms include classical policy and value iteration for smaller problems and stochastic approximation methods for large-scale applications. Prerequisites: 307 and 309. Staff

ORF 418 Optimal Learning Spring QR Addresses the problem of collecting information used to estimate statistics or fit a model which is then used to make decisions. Of particular interest are sequential problems where decisions adapt to information as it is learned. The course introduces students to a wide range of applications, demonstrates how to express the problem formally, and describes a variety of practical solution strategies. Prerequisite: ORF 245, ORF 309. Two 90-minute lectures, one preceptorial. W. Powell

ORF 435 Financial Risk Management Fall This course covers the basic concepts of modeling, measuring and managing different types of financial risks. Topics include portfolio optimization (mean-variance approach and expected utility), interest rate risk, pricing and hedging in complete and incomplete markets, indifference pricing, risk measures, systemic risk. Prerequisites: ORF 245, ORF 335 or ECO 465 (concurrent enrollment is acceptable) or instructor's permission. Two 90-minute lectures, one preceptorial. J. Mulvey

ORF 455 Energy and Commodities Markets Not offered this year This course is an introduction to commodities markets (energy, metals, agricultural products) and issues related to renewable energy sources such as solar and wind power, and carbon emissions. Energy and other commodities represent an increasingly important asset class, in addition to significantly impacting the economy and policy decisions. Emphasis will be on the term structure of commodity prices: behavior, models and empirical issues. Prerequisite: ORF 335 or instructor permission. Two 90 minute lectures, one precept. R. Carmona

ORF 467 Transportation Systems Analysis Fall Studied is the transportation sector of the economy from a technology and policy planning perspective. The focus is on the methodologies and analytical tools that underpin policy formulation, capital and operations planning, and real-time operational decision making within the transportation industry. Case studies of innovative concepts such as dynamic "value pricing", real-time fleet management and control, GPS-based route guidance systems, automated transit networks and the emergence of Smart Driving / Autonomous Cars. Two 90-minute lectures, one preceptorial. A. Kornhauser

ORF 473 Special Topics in Operations Research and Financial Engineering Not offered this year A course covering one or more advanced topics in operations research and financial engineering. Subjects may vary from year to year. Staff

ORF 474 Special Topics in Operations Research and Financial Engineering Spring A course covering one or more advanced topics in operations research and financial engineering. Subjects may vary from year to year. Staff

ORF 478 Senior Thesis Spring A 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. A. Kornhauser

ORF 479 Senior Project Spring A one-semester project that fulfills the departmental independent work requirement for concentrators. Topics are chosen by students in consultation with members of the faculty. A written report is required at the end of the term. A. Kornhauser