Description: This course covers the most important quantitative methods of financial engineering and computational finance. These methods include: (1) static and dynamic optimization; (2) Monte Carlo simulation; (3) stochastic (Itô) calculus; (4) financial econometrics; and (5) statistical inference for financial applications. Each of these techniques will be covered in some depth—along with its computer implementation—however, the emphasis will be on financial-engineering applications, not on methodology. In particular, quantitative methods are developed within the context of specific problems in financial engineering, problems that fall into one of the following four areas: (1) derivatives; (2) portfolio management; (3) risk management; and (4) proprietary trading.
Course #: 15.450
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