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Massachusetts Institute of Technology

Mathematical Methods for Quantitative Finance

Massachusetts Institute of Technology via MITx Online

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Overview

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Learn the mathematical foundations essential for financial engineering and quantitative finance: linear algebra, optimization, probability, stochastic processes, statistics, and applied computational techniques in R.

Syllabus

  • Probability distributions in finance
  • Time-series models: random walks, ARMA, and GARCH
  • Continuous-time stochastic processes
  • Optimization
  • Linear algebra of asset pricing
  • Statistical and econometric analysis
  • Monte Carlo simulation
  • Applied computational techniques

Taught by

Paul F. Mende

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