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Last updated:

October 25, 2022

Duration:

Unlimited Duration

FREE

This course includes:

Unlimited Duration

Badge on Completion

Certificate of completion

Unlimited Duration

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 portfolio management, risk management, derivatives, and proprietary trading.

Course Curriculum

  • 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

About the instructor

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Instructor Rating

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Massachusetts Institute of Technology