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This course covers the key quantitative methods of finance
0
4
English
English [CC]
FREE
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Description
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.
Course content
- Arbitrage-free pricing models Unlimited
- Stochastic calculus and option pricing Unlimited
- Code: Black-Scholes model Monte Carlo illustration Unlimited
- Dynamic portfolio choice I: Static approach to dynamic portfolio choice Unlimited
- Dynamic portfolio choice II: Dynamic programming Unlimited
- Dynamic portfolio choice III: Numerical approximations in dynamic programming Unlimited
- Parameter estimation Unlimited
- Standard errors and tests Unlimited
- Small-sample inference and bootstrap Unlimited
- Volatility models Unlimited
- Review: Arbitrage-free pricing and stochastic calculus Unlimited
- Review: DP and econometrics Unlimited
- Crossing probabilities of the Brownian motion Unlimited
- Key points: Derivatives and Monte Carlo Unlimited
- Dynamic programming: Justification of the principle of optimality Unlimited
- Examples of dynamic programming problems Unlimited
Instructor
Massachusetts Institute of Technology
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1916
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