Courses

For course details prior to the listed term, please visit the Office of the Registrar.

Spring 2024

Fundamentals of Statistics (QCR)
Subject associations
ORF 245 / EGR 245

A 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.

Instructors
Optimization
Subject associations
ORF 307 / EGR 307

This 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.

Instructors
Probability and Stochastic Systems
Subject associations
ORF 309 / EGR 309 / MAT 380

An 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.

Instructors
Stochastic Optimization and Machine Learning in Finance
Subject associations
ORF 311

A 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.

Instructors
Introduction to Financial Mathematics (QCR)
Subject associations
ORF 335 / ECO 364

Financial 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.

Instructors
Analysis of Big Data (QCR)
Subject associations
ORF 350

This 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.

Instructors
Computing and Optimization for the Physical and Social Sciences (QCR)
Subject associations
ORF 363 / COS 323

An 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.

Independent Research Project
Subject associations
ORF 376

Independent 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.

Instructors
Networks
Subject associations
ORF 387

This course showcases how networks are widespread in society, technology, and nature, via a mix of theory and applications. It demonstrates the importance of understanding network effects when making decisions in an increasingly connected world. Topics include an introduction to graph theory, game theory, social networks, information networks, strategic interactions on networks, network models, network dynamics, information diffusion, and more.

Instructors
Electronic Commerce
Subject associations
ORF 401

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

Instructors
High Frequency Markets: Models and Data Analysis
Subject associations
ORF 445

An 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.

Instructors
Robert Almgren
Senior Thesis
Subject associations
ORF 478

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.

Instructors
Senior Project
Subject associations
ORF 497

Students 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.

Instructors
Senior Thesis
Subject associations
ORF 499

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 support of dedicated instructors and AIs. The thesis is submitted and defended by the student at a public examination before a faculty committee. This course completes the research work begun in the fall semester class ORF 498.

Instructors