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MITx: Mathematical Methods for Quantitative Finance

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

Mathematical Methods for Quantitative Finance
12 semanas
10–14 horas por semana
Al ritmo del instructor
Con un cronograma específico
Gratis
Verificación opcional disponible

Hay una sesión disponible:

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Comienza el 26 jun
Termina el 16 sept

Sobre este curso

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Modern finance is the science of decision making in an uncertain world, and its language is mathematics. As part of the MicroMasters® Program in Finance, this course develops the tools needed to describe financial markets, make predictions in the face of uncertainty, and find optimal solutions to business and investment decisions.

This course will help anyone seeking to confidently model risky or uncertain outcomes. Its topics are essential knowledge for applying the theory of modern finance to real-world settings. Quants, traders, risk managers, investment managers, investment advisors, developers, and engineers will all be able to apply these tools and techniques.

De un vistazo

  • Institución: MITx
  • Tema: Economía y finanzas
  • Nivel: Advanced
  • Prerrequisitos:
    • Calculus
    • Probability and statistics
    • Linear algebra
    • Basic programming skills.
  • Programas asociados:
  • Idioma: English
  • Transcripción de video: English
  • Habilidades asociadas:Planning, Stochastic Process, Linear Algebra, Investments, Probability, Chartered Financial Analyst, Decision Making, Financial Engineering, Statistics, Mathematical Finance, Investment Management, Finance, Financial Market, Forecasting

Lo que aprenderás

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  • 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


How to Prepare

There are a number of prerequisites for this course: Calculus (multivariable), probability and statistics, linear algebra, and basic programming skills. Learners are urged to thoroughly review the 15.455x Prerequisites and Resources site* which details these prerequisites and provides a robust suite of resources to prepare you for this advanced math course, including a readiness assessment to help you confirm that you have a solid understanding of the 15.455x prerequisite material, and to indicate directions of study in case you need to build on your current foundations prior to starting the course.

*Please note that you will need to enroll in order to access the Prerequisite and Resources site. To do so, click the link above, then click "Enroll."

Plan de estudios

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Learning modules:

  1. Probability: review of laws probability; common distributions of financial mathematics; CLT, LLN, characteristic functions, asymptotics.

  2. Statistics: statistical inference and hypothesis tests; time series tests and econometric analysis; regression methods

  3. Time-series models: random walks and Bernoulli trials; recursive calculations for Markov processes; basic properties of linear time series models (AR(p), MA(q), GARCH(1,1)); first-passage properties; applications to forecasting and trading strategies.

  4. Continuous time stochastic processes: continuous time limits of discrete processes; properties of Brownian motion; introduction to Itô calculus; solving differential equations of finance; applications to derivative pricing and risk management.

  5. Linear algebra: review of axioms and operations on linear spaces; covariance and correlation matrices; applications to asset pricing.

  6. Optimization: Lagrange multipliers and multivariate optimization; inequality constraints and quadratic programming; Markov decision processes and dynamic programming; variational methods; applications to portfolio construction, algorithmic trading, and best execution.|

  7. Numerical methods: Monte Carlo techniques; quadratic programming

¿Quién puede hacer este curso?

Lamentablemente, las personas residentes en uno o más de los siguientes países o regiones no podrán registrarse para este curso: Irán, Cuba y la región de Crimea en Ucrania. Si bien edX consiguió licencias de la Oficina de Control de Activos Extranjeros de los EE. UU. (U.S. Office of Foreign Assets Control, OFAC) para ofrecer nuestros cursos a personas en estos países y regiones, las licencias que hemos recibido no son lo suficientemente amplias como para permitirnos dictar este curso en todas las ubicaciones. edX lamenta profundamente que las sanciones estadounidenses impidan que ofrezcamos todos nuestros cursos a cualquier persona, sin importar dónde viva.

Este curso es parte del programa Finance MicroMasters

Más información 
Instrucción por expertos
6 cursos de nivel universitario
1 año 4 meses
10 - 14 horas semanales

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