15 450 - Analytics of Finance

Institution:

Massachusetts Institute of Technology

Subject:

Description:

Covers several key quantitative methods of finance, including financial econometrics, Monte Carlo simulation, stochastic (Ito) calculus, and dynamic optimization. Covers these techniques, along with their computer implementation, in depth. Application areas include quantitative portfolio management, risk management, derivative pricing and hedging, and proprietary trading.

Credits:

5.00

Credit Hours:

Prerequisites:

Prereq: 15.401, 15.414, or 15.415

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

web.mit.edu/student/

Phone Number:

(617) 253-1000

Regional Accreditation:

New England Association of Schools and Colleges

Calendar System:

Four-one-four plan

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