15.456 Financial Engineering

Class Info

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.

This class has 15.401, 15.414, and 15.415 as prerequisites.

15.456 will not be offered this semester. It will be available in the Fall semester, and will be instructed by L. Kogan and J. Wang.

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.

You can find more information at the MIT + 15.456 - Google Search site or on the 15.456 Stellar site.

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