15.456 Financial Engineering
Provides an introduction to financial engineering. Covers analytical and computational techniques, including dynamic optimization, stochastic calculus, and Monte Carlo simulation; and topics including dynamic asset pricing theories, market equilibrium and portfolio choice with frictions and constraints, risk management. Assumes solid undergraduate-level background in calculus, probability, statistics, and programming and includes a substantial coding component. Materials and review sessions use R. Students are encouraged but not required to use R for assignments and projects.
Lecture occurs 2:30 PM to 4:00 PM on Mondays and Wednesdays in E62-223.
This class counts for a total of 9 credits.
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