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MIT OpenCourseware - Analytics of Finance

Friday Feb 11, 9:38AM

This course given by Prof. Leonid Kogan in Fall 2010 covers the key quantitative methods of finance and is aimed at Graduate students:

  • financial econometrics and statistical inference for financial applications;
  • dynamic optimization;
  • Monte Carlo simulation;
  • stochastic (Ito) calculus.

These techniques, along with their computer implementation, are covered in depth.

Application areas include portfolio management, risk management, derivatives, and proprietary trading.

Full details and course notes available here.

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