普林斯顿大学运营与金融工程系(Operations Research and Financial Engineering )

2005年秋季学期课程表

ELE491-ORF491-ELE591-ORF591_F2005 High-Tech Entrepreneurship (ELE491-ORF491-ELE591-ORF591_F2005)

Instructor Users: Ed Zschau, Thomas Roddenbery
This "hands-on" practical course introduces students to the analysis and actions required to launch a successful high tech company. Using several conceptual frameworks and analytical techniques, it addresses the challenges of evaluating technologics for commercial

feasibility, determining how best to launch a new venture, attracting the resources needed to start a company (e.g. people, corporate partners, and venture capital), preparing comprehensive business plans, structuring business relationships, and managing early stage

companies toward "launch velocity" and sustainable growth.

FIN501-ORF514_F2005 Asset Pricing I: Pricing Models and Derivatives (FIN501-ORF514_F2005)

Instructor Users: Markus Brunnermeier
Provides an introduction to the modern theory of asset pricing. Topics include: (i) No

arbitrage, Arrow-Debreu prices and equivalent martingale measure; (ii) security structure and market completeness; (iii) mean-variance analysis, Beta-Pricing, CAPM; and (iv) introduction to derivative pricing.

ORF105_F2005 The Science and Technology of Decision Making (ORF105_F2005)
Instructor Users: William Massey
A practical but penetrating introduction to quantitative models of decision making. This course fuses problem-based learning and spreadsheet computation with the principal models of

operations research and probability. Examples are drawn from engineering, economics,

finance, operations management, business and medical decision making. A sound background in

high-school mathematics is assumed, but the course is otherwise self-contained.

ORF245_F2005 Fundamentals of Engineering Statistics (ORF245_F2005)
Instructor Users: Jianqing Fan
To acquaint the student with the language, mathematics and applications of probability and statistics in engineering and the sciences.

ORF309-MAT309_F2005 Probability and Stochastic Systems (ORF309-MAT309_F2005)
Instructor Users: Victoria Henderson
An introduction to probability and its applications. Random variables, expectation,independence. Poisson processes, Markov chains, and Brownian motion. Stochastic models of queues, population dynamics, and reliability.

ORF311_F2005 Optimization under Uncertainty (ORF311_F2005)
Instructor Users: John Mulvey
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 with a focus on financial applications. Two 90-minute classes

ORF375_F2005 Independent Research Project (ORF375_F2005)
Instructor Users:
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.

ORF405_F2005 Regression and Applied Time Series (ORF405_F2005)
Instructor Users: Rene Carmona
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, ....).

ORF411_F2005 Operations and Information Engineering (ORF411_F2005)
Instructor Users: Warren Powell
The management of complex systems through the control of physical, financial and informational resources. The course focuses on developing mathematical models for resource allocation, with an emphasis on capturing the role of information in decisions. The course

seeks to integrate skills in statistics, stochastics and optimization using applications drawn from problems in dynamic resource management which tests modeling skills and teamwork.

Prerequisites: ORF 245, 307 and 309 or equivalents. Two lectures.

ORF435_F2005 Financial Risk Management (ORF435_F2005)
Instructor Users: Patrick Cheridito
This course is about modeling, measuring and managing financial risks for individuals and financial organizations. It introduces methods and discusses instruments that are used to this effect. Topics covered include mean-variance portfolio analysis, bond portfolio

immunization, option pricing, hedging, Greek letters, risk measures, utility functions.

ORF467_F2005 Transportation (ORF467_F2005)
Instructor Users: Alain Kornhauser
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 "value"

pricing, real-time fleet management and control, GPS-based route guidance systems and

automated transit systems will provide a practical focus for the methodologies.

ORF505-FIN505_F2005 Modern Regression and Time Series (ORF505-FIN505_F2005)
Instructor Users: Rene Carmona
Linear and mixed effect models. Nonlinear regression. Nonparametricegression and classification. Time series analysis: stationarity and classical linear models (AR, MA,

ARMA, ..). Nonlinear and nonstationary time series models. State space systems, hidden Markov models and filtering.

ORF507_F2005 Master's Project I (ORF507_F2005)
Instructor Users:
Under the direction of a faculty member, each student carries out a Master project and presents the results. Master Project I is usually taken during the fall semester of the M.E.

degree.

ORF509_F2005 Directed Research I (ORF509_F2005)
Instructor Users:
Under the direction of a faculty member, each student carries out research and presents the results. Directed Research is normally taken during the first year of study.

ORF510_F2005 Directed Research II (ORF510_F2005)
Instructor Users:
This seminar is a continuation of ORF 509. Each student writes a report and presents research results. For doctoral students, the course must be completed one semester prior to taking the general examinations.

ORF522_F2005 Linear Optimization (ORF522_F2005)
Instructor Users: Robert Vanderbei
Topics to be discussed include: the simplex method and its complexity, degeneracy, duality, the revised simplex method, convex analysis, game theory, network flows, primal-dual interior point methods, first order optimality conditions, Newton's method, KKT conditions,quadratic programming, and convex optimization. A broad spectrum of applications will be presented.

ORF526_F2005 Stochastic Modeling (ORF526_F2005)
Instructor Users: Savas Dayanik
Fundamental models of random phenomena in financial engineering and operations research: Poisson processes, Markov chains, Brownian motion, and diffusion processes.

ORF535-FIN535_F2005 Financial Risk Management (ORF535-FIN535_F2005)
Instructor Users: Patrick Cheridito
This course is about modeling, measuring and managing financial risks for individuals and financial organizations. It introduces methods and discusses instruments that are used to this effect. Topics covered include mean-variance portfolio analysis, bond portfolio immunization, option pricing, hedging, Greek letters, risk measures, utility functions.

Lectures meet concurrently with ORF 435. Credit for graduate course requires completion of additional assignments.

ORF557_F2005 Stochastic Analysis Seminar (ORF557_F2005)
Instructor Users: Rene Carmona
Recent developments in the theory and applications of the analysis of random processes and random fields. Applications include financial engineering, transport by stochastic flows, and statistical imaging.

ORF569_F2005 Special Topics in Statistics and Operations Research: Topics in Fin. Engin: An Intro to Credit Risk and Credit Derivatives (ORF569_F2005)
Instructor Users: David Lando
Credit risk is one of the most intensely studied topics in quantitative finance. This course will provide an introduction and overview for graduate students who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze

them. The lectures will emphasize models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and

collateralized debt obligations.

ORF570_F2005 Special Topics in Statistics and Operations Research: Asymptotic theory and its statistical applications (ORF570_F2005)

Instructor Users: Jianqing Fan
The asymptotic theory of statistics is an increasingly important component of the study of theoretical statistics. Exact sampling distributions are typically much too complex to be obtained in a useful form, even via simulation, but approximate distributions are available

from asymptotic theory. Nearly all notions of finite-sample optimality have proved to be too limited, but there is a very rich theory of approximate optimality. This course will covers the fundamental tools and methods in the asymptotic theory and apply them to various statistical problems.

WWS527A-CEE563_F2005 Topics in Domestic Policy Analysis: Domestic Policy

Analysis:Transportation (WWS527A-CEE563_F2005)
Instructor Users: Alain Kornhauser
Studies the transportation sector of the economy from a technology and public policy perspective. Explores modeling and methodologies of policy formulation, capital and operations planning, operational decision making. Radical concepts such as "value" pricing,

private toll roads and for-profit mass transportation are considered as elements of transportation policy. Security creates new challenges, while local issues of traffic congestion, road construction and transportation-related environmental issues are dominant themes of grass roots politics.