Analytics of Finance
15.450 · Sloan School of Management · Graduate · Fall 2010
Prof. Leonid Kogan
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.
The syllabus, on MIT OpenCourseWare
The full course — syllabus, assigned readings, problem sets, exams, and lecture notes — lives on OCW. These open the real thing:
Syllabus ↗
Course overview, grading, schedule
Readings ↗
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Assignments ↗
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Attribution
Prof. Leonid Kogan. 15.450 Analytics of Finance. Fall 2010. Massachusetts Institute of Technology: MIT OpenCourseWare, https://ocw.mit.edu. License: CC BY-NC-SA 4.0.
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