Analytics of finance
Master
In Maynard (USA)
Description
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Type
Master
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Location
Maynard (USA)
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Start date
Different dates available
This course covers the key quantitative methods of finance: financial econometrics and statistical inference for financial applications; dynamic optimization; Monte Carlo simulation; stochastic (Itô) calculus. These techniques, along with their computer implementation, are covered in depth. Application areas include portfolio management, risk management, derivatives, and proprietary trading.
Facilities
Location
Start date
Start date
Reviews
Subjects
- Probability
- Financial Training
- Financial
- Finance
- Calculus
- Statistics
Course programme
Lectures: 2 sessions / week, 1.5 hours / session
Recitations: 1 session / week, 1.5 hours / session
This course covers the main quantitative methods of finance. The course covers three broad sets of topics: derivative pricing using stochastic calculus, dynamic optimization, and financial econometrics. The emphasis is on rigorous and in-depth development of the key techniques and their application to practical problems.
15.401 Finance Theory I is a prerequisite for this course. 15.437 Options and Futures Markets is a recommended co-requisite.
Rudimentary programming skills are necessary. Homework assignments involve computer implementation of quantitative methods in MATLAB®. Prior knowledge of MATLAB® is not required. In addition to formal prerequisites, the course assumes solid undergraduate-level background in calculus, probability, and statistics.
[Back]= Back, Kerry. A Course in Derivative Securities: Introduction to Theory and Computation. New York, NY: Springer, 2005. ISBN: 9783540253730.
[CL&M]= Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay. The Econometrics of Financial Markets. Princeton, NJ: Princeton University Press, 1996. ISBN: 9780691043012.
[Cochrane]= Cochrane, John H. Asset Pricing. Revised ed. Princeton, NJ: Princeton University Press, 2005. ISBN: 9780691121376.
[D&S]= DeGroot, Morris, and Mark J. Schervish. Probability and Statistics. 3rd ed. Reading, MA: Addison-Wesley, 2002. ISBN: 9780201524888.
[Tsay]= Tsay, Ruey S. Analysis of Financial Time Series. 2nd ed. New York, NY: John Wiley & Sons, 2005. ISBN: 978047169074.
The lectures will include suggestions for additional readings for each topic. Since there is no single textbook covering all the relevant topics, several books will be used. [Back] covers topics in stochastic calculus and derivative pricing. [Tsay] covers time-series methods in financial econometrics, and is the most frequently used textbook. [Cochrane] and [CL&M] cover advanced topics in financial econometrics. [D&S] covers basic background in probability and statistics and can be used for review as necessary.
The class will cover the following core topics:
Advanced topics include:
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Analytics of finance