15.456 Financial Engineering
Exposes students to the cutting edge of financial engineering. Includes a deep immersion into 'how things work,' where students develop and test sophisticated computational models and solve highly complex financial problems. Covers stochastic modeling, dynamic optimization, stochastic calculus and Monte Carlo simulation through topics such as dynamic asset pricing and investment management, market equilibrium and portfolio choice with frictions and constraints, and risk management. Assumes solid undergraduate-level background in calculus, probability, statistics, and programming and includes a substantial coding component. Students are encouraged but not required to use R for coursework.
Lecture occurs 2:30 PM to 4:00 PM on Mondays and Wednesdays in E52-164.
This class counts for a total of 9 credits.
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