Operations Research and Financial Engineering (MEng)

专业详情

PROGRAM DESCRIPTION:

The Master of Engineering (M.Eng.) is a coursework-based master’s degree offered, in 2021-22, to current ORFE Seniors. Candidates for the M.Eng. degree will be enrolled full-time throughout the 10-month academic year. No research or thesis is required. Any class (or its graduate equivalent) counted towards the Princeton undergraduate degree cannot be counted for the M.Eng. degree.

COURSES:

Candidates for the M.Eng. degree must successfully complete at least eight approved courses. A minimum of six of these eight courses must be technical, having their primary listing in a department or a program within the natural sciences or engineering. A minimum of four of these six courses must be chosen from graduate offerings in the Department of Operations Research & Financial Engineering; options include any of the following six core courses for the Ph.D. degree.  Students must have a “B” (3.0) average or better when they complete the program requirements to receive the degree.

ORF 522- Linear & Nonlinear Optimization
ORF 523- Convex and Conic Optimization
ORF 524- Statistical Theory and Methods
ORF 525- Statistical Foundations of Data Science
ORF 526- Probability Theory
ORF 527- Stochastic Calculus

As well as several graduate-level ORFE electives
ORF 504- Financial Econometrics
ORF 505- Statistical Analysis of Financial Data
ORF 515- Asset Pricing II: Stochastic Calculus and Advanced Derivatives
ORF 531- Computational Finance in C++
ORF 535- Financial Risk Management
ORF 538- PDE Methods in Financial Mathematics
ORF 542- Stochastic Control and Stochastic Differential Games
ORF 545- High-Frequency Markets
ORF 569- Special Topics in Statistics, Operations Research and Financial Engineering
ORF 570- Special Topics in Statistics, Operations Research and Financial Engineering

Other approved classes include:
ORF 401- Electronic Commerce
ORF 407- Fundamentals of Queueing Theory
ORF 409- Introduction to Monte Carlo Simulation
ORF 418- Sequential Decision Analytics and Modeling
ORF 435- Financial Risk and Wealth Management
ORF 455- Energy & Commodities Markets
ORF 473- Special Topics in Operations Research and Financial Engineering
ORF 474- Special Topics in Operations Research and Financial Engineering
Courses of potential interest in other departments:
APC 503- Analytical Techniques in Differential Equations
COS 402- Machine Learning and Artificial Intelligence
COS 423- Theory of Algorithms
COS 485- Neural Networks: Theory and Application
COS 511- Theoretical Machine Learning
COS 521- Advanced Algorithm Design
COS 528- Data Structures and Graph Algorithms
COS 534- Fairness in Machine Learning
ECO 418- Strategy and Information
ECO 462- Portfolio Theory and Asset Management
ECO 464- Corporate Restructuring
ECO 466- Fixed Income: Models and Applications
ECO 467- Institutional Finance
ECO 517- Econometric Theory I
ECO 518- Econometric Theory II
ECO 525- Financial Economics I
ECO 526- Financial Economics II
ELE 525- Random Processes in Information Systems
ELE 535- Machine Learning and Pattern Recognition
ELE 538B- Information Sciences and Systems Large Scale Optimization for Data Science
MAE 546- Optimal Control and Estimation
MAT 522/APC 522- Introduction to PDE
MAT 527- Topics in Differential Equations: Global Solutions of Nonlinear Evolutions
MAT 572/APC 572- Introduction to Combinatorial Optimization
MAT 587- Topics in Ergodic Theory: Introduction to Ergodic Theory
MAT 589- Topics in Probability, Statistics, and Dynamics: Modern Discrete Probability Theory
PHY 521/MAT 597- Introduction to Mathematical Physics
SPI 509- Generalized Linear Statistical Models