Bootstrap, discussed in Lecture 9, is a re-sampling method which can be used to evaluate properties of statistical estimators. This course covers Bootstrap and other methods used in financial analysis. (Image by MIT OpenCourseWare.)
Instructor(s)
Prof. Leonid Kogan
MIT Course Number
15.450
As Taught In
Fall 2010
Level
Graduate
Course Description
Course Features
Course Description
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.