MIT Subject Listing & Schedule
Fall 2018 Search Results

Searched for: "15.456"    Subjects offered any term

1 subject found.

15.456 Financial Engineering

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Prereq: 15.401, 15.414, or 15.415
Units: 4-0-5
Lecture: MW2.30-4 (E52-164) +final

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.
P. Mende
Textbooks (Fall 2018)