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Course Criteria
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3.00 Credits
Designed for students seeking to develop a sophisticated understanding of fixed income valuation and hedging methods, and to gain familiarity with the major markets and instruments. Emphasizes tools for quantifying, hedging, and speculating on risk. Topics include duration; convexity; modern approaches to modeling the yield curve; interest rate forwards, futures, swaps and options; credit risk and credit derivatives; mortgages; and securitization. 15.437 strongly recommended.
Prerequisite:
Prereq: 15.401, 15.414, or 15.415
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5.00 Credits
Covers advanced topics in the theory of financial markets with a focus on continuous time models. Topics include multiperiod securities markets and martingales; pricing of contingent securities such as options; optimal consumption and portfolio problems of an individual; dynamic equilibrium theory and the intertemporal capital asset pricing model; term structure of interest rates; and equilibrium with asymmetric information, transaction costs, and borrowing constraints. Primarily for doctoral students in accounting, economics, and finance.
Prerequisite:
Prereq: 15.416
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3.00 Credits
Surveys selected topics in current advanced research in corporate finance. Theoretical and empirical analyses of corporate financing and investment decisions. Some background in information economics and game theory is useful. Primarily for doctoral students in accounting, economics, and finance.
Prerequisite:
Prereq: 14.121, 14.122, or 15.416J
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3.00 Credits
Recent empirical methods in finance, including: the estimation and testing of market efficiency; the random walk hypothesis; the CAPM/APT; various term structure models; option pricing theories; and market microstructures; performance evaluation; bond rating and default analysis; event study methodology; continuous-time econometrics; and general time series methods. An empirical term project is required. Some econometric background and rudimentary computer programming skills are assumed. Primarily for doctoral students in finance, accounting, and economics.
Prerequisite:
Prereq: 14.382, 15.416J, or permission of instructor
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5.00 Credits
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.
Prerequisite:
Prereq: 15.401, 15.414, or 15.415
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2.00 Credits
Provides a unique opportunity to tackle original research problems in financial engineering that have been posed by leading experts from the financial community. Students are assigned to teams and each team is assigned one such problem. Teams present their solutions at a seminar which is attended by representatives of the sponsoring organization and open to the entire MIT community.
Prerequisite:
Prereq: 15.401, 15.414, or 15.415; 15.437
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3.00 Credits
Bridges the gap between finance theory and finance practice, and introduces students to the broader financial community. Students participate in a series of proseminars with industry guest speakers. Each guest, in collaboration with finance faculty, provides a problem and materials to a team of students. Each team then prepares a report and presents their analysis to the guest speaker and other students for evaluation and feedback.
Prerequisite:
Prereq: 15.402, 15.414, or 15.415
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4.00 Credits
Covers the practical aspects of the analytics of finance from the perspective of a quantitative investment manager. Considers investment strategies, backtest simulation, data and computational architecture, portfolio construction, trading implementation, and risk management within the context of a specific quantitative equity trading strategy. Study of these topics follows the natural sequence of research, development, testing, and implementation. Emphasizes financial applications, but also covers mathematical and statistical techniques in some depth, along with their computational implementation in software.
Prerequisite:
Prereq: 15.401, 15.414, or 15.415
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3.00 Credits
Preparation and analysis of financial statements. Focuses on why financial statements take the form they do, and how they can be used in evaluating corporate performance and solvency and in valuation of corporate securities. Introduces concepts from finance and economics (e.g., cash flow discounting and valuation) and explains their relation to, and use in, accounting. Students taking the graduate version complete additional assignments. Permission of Sloan Educational Services required for all cross-registrants.
Prerequisite:
Prereq: None
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3.00 Credits
Introduces concepts of corporate financial accounting and reporting of information widely used in making investment decisions, corporate and managerial performance assessment, and valuation of firms. Students perform economics-based analysis of accounting information from the viewpoint of the user (especially senior managers) rather than the preparer (the accountant). Restricted to Sloan Fellows in Innovation and Global Leadership.
Prerequisite:
Prereq: Permission of instructor
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