15.450 Analytics of Finance

As taught in: Fall 2010

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.)

Level:

Graduate

Instructors:

Prof. Leonid Kogan

Course Features

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

Technical Requirements

Special software is required to use some of the files in this course: .m.