15.456 Financial Engineering


Class Info

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.

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

15.456 will be offered this semester (Fall 2017). It is instructed by L. Kogan and J. Wang.

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.

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

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