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Sophomore level  
Fundamentals of Statistics
ORF 245 (fa26)		 ◦ Probability and Statistics for Engineering & the Sciences by Jay Devore
Junior level  
Optimization
ORF 307 (fa26)		 ◦ Intro. to Linear Optimization by Bertsimas & Tsitsiklis
◦ Linear Programming: Foundations and Extensions by Robert J. Vanderbei
Probability & Stochastic Systems
ORF 309 (fa26)		 ◦ Fundamentals of Probability: With Stochastic Processes by Saeed Ghahramani
◦ Intro. To Probability by Bertsekas & Tsitsiklis
◦ Intro. to Probability Models by Sheldon M. Ross
Computing & Optimization for the Physical & Social Sciences
ORF 323 (fa26)		 ◦ An Introduction to Optimization: With Applications to Machine Learning by Chong, Lu & Zak
◦ Convex Optimization by Boyd & Vandenberghe
◦ Linear Programming: Foundations & Extensions by Robert J. Vanderbei
◦ Algorithms by Dasgupta, Papadimitriou & Vazirani
Senior level  
Regression & Applied Time Series
ORF 405 (fa26)		 ◦ An Introduction to Statistical Learning by James et al.
Intro. to Monte Carlo Simulation
ORF 409 (fa26)		 ◦ Simulation by Sheldon M. Ross
Optimal Learning
ORF 418 (fa26)		 ◦ Dynamic Programming & Optimal Control by Dimitri P. Bertsekas
Financial Risk & Wealth Management
ORF 435 (fa26)		 ◦ Quantitative Risk Management: Concepts, Techniques & Tools by McNeil et al.
◦ Stochastic Finance: An Intro. in Discrete Time by Föllmer & Schied
◦ Investment Science by David G. Luenberger
High Frequency Markets: Models & Data Analysis
ORF 445 (fa26)		 ◦ Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris
◦ Algorithmic & High-Frequency Trading by Cartea et al.
◦ Empirical Market Microstructure: The Institutions, Economics & Econometrics of Securities Trading by Joel Hasbrouck
◦ Trades, Quotes & Prices: Financial Markets Under the Microscope by Bouchaud et al.
Energy & Commodities Markets
ORF 455 (fa26)		 ◦ Optimization Models in Electricity Markets by Anthony Papavasiliou
◦ The Economist Guide to Commodities: Producers, Players & Prices; Markets, Consumers & Trends by Caroline Bain
◦ Commodity Price Dynamics: A Structural Approach by Craig Pirrong
◦ Valuation & Risk Management in Energy Markets by Glen Swindle
◦ Energy & Power Risk Management: New Developments in Modeling, Pricing & Hedging by Eydeland & Wolyniec
Transportation Systems Analysis
ORF 467 (fa26)		 ◦ Urban Travel Demand Modeling: From Individual Choices to General Equilibrium by Norbert Oppenheim
◦ Transportation Engineering & Planning by Papacostas & Prevedouros
Graduate level  
Statistical Analysis of Financial Data
ORF 505 (fa26)		 ◦ Statistical Analysis of Financial Data in R by René Carmona
Linear & Nonlinear Optimization
ORF 522 (fa26)		 ◦ Large-Scale Convex Optimization: Algorithms & Analyses via Monotone Operators by Ryu & Yin
◦ Linear Programming: Foundations and Extensions by Robert J. Vanderbei
◦ Introduction to Linear Optimization by Bertsimas & Tsitsiklis
◦ Numerical Optimization by Nocedal & Wright
Statistical Theory & Methods
ORF 524 (fa26)		 ◦ Theory of Point Estimation by Lehmann & Casella
◦ Testing Statistical Hypotheses by Lehmann & Romano
◦ Asymptotic Statistics by A.W. van der Vaart
◦ Mathematical Statistics by Jun Shao
◦ Mathematical Statistics: Basic Ideas & Selected Topics, Vol. I & II by Bickel & Doksum
Probability Theory
ORF 526 (fa26)		 ◦ Probability: Theory & Examples by Rick Durrett
◦ Probability & Stochastics by Erhan Çınlar
Computational Finance in C++
ORF 531 (fa26)		 ◦ Options, Futures & Other Derivatives by John Hull
◦ Modern C++ for Absolute Beginners: A Friendly Introduction to the C++ Programming Language & C++11 to C++23 Standards by Slobodan Dmitrović
◦ Effective Modern C++: 42 Specific Ways to Improve Your Use of C++11 and C++14 by Scott Meyers
◦ C++ Design Patterns & Derivatives Pricing by M.S. Joshi
◦ Numerical Recipes: The Art of Scientific Computing by William H. Press
Energy & Commodities Markets
ORF 555 (fa26)		 ◦ Optimization Models in Electricity Markets by Anthony Papavasiliou

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