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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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Courses
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Students
![Profile Photo](https://opencoursa.com/wp-content/uploads/avatars/809/62de1041c5027-bpfull.jpg)
Massachusetts Institute of Technology