Prof. Leonid Kogan
This course covers the key quantitative methods of finance: financial econometrics and statistical inference for financial applications; dynamic optimization; Monte Carlo simulation; stochastic (Itô) calculus. These techniques, along with their computer implementation, are covered in depth. Application areas include portfolio management, risk management, derivatives, and proprietary trading.
Kogan, Leonid. 15.450 Analytics of Finance, Fall 2010. (MIT OpenCourseWare: Massachusetts Institute of Technology), http://ocw.mit.edu/courses/sloan-school-of-management/15-450-analytics-of-finance-fall-2010 (Accessed). License: Creative Commons BY-NC-SA