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(Complete Item Description)
- Abstract:
This course covers the key quantitative methods of finance: financial econometrics and statistical inference for financial applications; dynamic optimization; Monte Carlo simulation; stochastic (It) calculus. These techniques, along with their computer implementation, are covered in depth. Application areas include portfolio management, risk management, derivatives, and proprietary trading.
- Subject:
- Business, Social Sciences
- Grade Level:
- Post-secondary
- Collection:
-
MIT OpenCourseWare
Remix and Share

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(Complete Item Description)
- Abstract:
This course introduces the principal algorithms for linear, network, discrete, nonlinear, dynamic optimization and optimal control. Emphasis is on methodology and the underlying mathematical structures. Topics include the simplex method, network flow methods, branch and bound and cutting plane methods for discrete optimization, optimality conditions for nonlinear optimization, interior point methods for convex optimization, Newton's method, heuristic methods, and dynamic programming and optimal control methods.
- Subject:
- Mathematics and Statistics, Science and Technology
- Grade Level:
- Post-secondary
- Collection:
-
MIT OpenCourseWare
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