Rene Carmona	OPERATIONS RESEARCH & FINANCIAL ENGINEERING       PACM      PRINCETON UNIVERSITY
	TEACHING
MAIN PAGE EDUCATION & POSITIONS TEACHING RESEARCH PUBLICATIONS DOWNLOAD LINKS	ORF 405: Regression & Time Series Regression: linear/nonlinear, parametric/nonparametric. Measure influence and robustness. Kernel, projection pursuit and neural networks. Midterm project: nonparametric option pricing. Time series: AR, MA, ARMA, ARIMA, models, linear systems and Kalman filter. ARCH and GARCH models as motivated by financial applications. Final Project: prediction of 4 sub-indices of the S&P 500. Homework + Midterm + Final require the use of Splus. ORF 515: Stochastic Calculus & Financial Aplications Description/Objectives: Binomial trees, random walk and discrete time martingales. Wiener process, stochastic integration, Ito processes, semimartingales and stochastic differential equations. Stochastic market models and arbitrage pricing. Exotic and interest rate derivatives. Incomplete models. Pricing risky bonds and weather derivatives. ORF 557: Seminar on Extreme Value Theory VaR as a motivation. Classical limit theorems for sums and maxima. Extreme value distributions and their statistical estimation. Analysis of insurance and financial case studies.
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