MIT OpenCourseWare

Browse materialsMIT 15.450 · Fall 2010

Analytics of Finance

Subjects: Economics · Finance · Management · Statistics

Art: Gaston, John, (John Gaston merchant ledger) - DPLA -…, 1773 · Public domain

Instructor: Prof. Leonid Kogan
Term: Fall 2010
Level: Graduate
What's inside: 1 lecture note · 1 reading · 38 other files · 4 web pages
Materials open: MIT OCW

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About this course

Source: MIT OpenCourseWare 15.450 Analytics of Finance, Fall 2010, Prof. Leonid Kogan — original course page on ocw.mit.edu ↗. License: CC BY-NC-SA 4.0. Study order: MIT's own listing order, section by section. Taken from MIT's published course files, downloaded from ocw.mit.edu on September 23, 2026. How RedLectern is built.

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Before you start

Prerequisites are not listed here. Check MIT's own syllabus for this course.

This course’s cited books, in our reading lists: Probability and Statistics

How this course was organized

What's here, and what isn't

A lecture sequence of 12 items is confirmed. Assignment and exam materials exist too, but MIT's own order for them could not be verified, so they're shown as materials below rather than a sequence.

Not included here

1 item from the source could not be safely included:

Referenced in a table, but without MIT's own verified order, so it isn't used to claim a sequence.

Materials by section

Grouped by section, as MIT organized them. Not sequenced or ordered.

Lecture Notes

21 files

Recitations

8 files

Assignments

Exams

MIT OpenCourseWare, Prof. Leonid Kogan, 15.450 Analytics of Finance, Fall 2010.

License: CC BY-NC-SA 4.0 · Edition: Fall 2010 · Open the original course on OCW ↗

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Analytics of Finance

Before you start

What's here, and what isn't

Not included here

Materials by section

Lecture Notes

Recitations

Assignments

Exams

Lecture 1: Arbitrage-free pricing models

Lecture 2: Stochastic calculus and option pricing Code: Quadratic variation simulation

Lecture 3: Simulation methods Code: Black-Scholes model Monte Carlo illustration Code: Black-Scholes with a jump Monte Carlo (PS1, Q2) Code: Monte Carlo with control variates, stochastic volatility model

Lecture 4: Dynamic portfolio choice I: Static approach to dynamic portfolio choice

Lecture 5: Dynamic portfolio choice II: Dynamic programming

Lecture 6: Dynamic portfolio choice III: Numerical approximations in dynamic programming Code: Numerical DP solution

Lecture 7: Parameter estimation

Lecture 8: Standard errors and tests

Lecture 9: Small-sample inference and bootstrap

Lecture 10: Volatility models

Lecture 11: Review: Arbitrage-free pricing and stochastic calculus

Lecture 12: Review: DP and econometrics