15.450 | Fall 2010 | Graduate
Analytics of Finance
Course Description
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 …
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.
Learning Resource Types
assignment Problem Sets
notes Lecture Notes
grading Exams
Translation from the real world to the bootstrap world.
Bootstrap, discussed in Lecture 9, is a re-sampling method which can be used to evaluate properties of statistical estimators. This course covers Bootstrap and other methods used in financial analysis. (Image by MIT OpenCourseWare.)