Finance Theory, 15.415

Core theory of capital markets and corporate finance. Topics include functions and operations of capital markets, analysis of consumption-investment decisions of investors, valuation theory, financial securities, risk analysis, portfolio theory, pricing models of risky assets, theory of efficient markets, as well as investment, financing and risk management decisions of firms. Provides a theoretical foundation of finance and its applications. Restricted to students in the Master of Finance Program.

Advanced Financial Economics I, 15.440J

Covers advanced topics in the theory of financial markets with a focus on continuous time models. Topics include multi-period securities markets and martingales; pricing of contingent securities such as options; optimal consumption and portfolio problems of an individual; dynamic equilibrium theory and the inter-temporal capital asset pricing model; term structure of interest rates; and equilibrium with asymmetric information, transaction costs, and borrowing constraints. Primarily for doctoral students in accounting, economics, and finance.

Financial Engineering, 15.456

Exposes students to the cutting edge of financial engineering. Includes a deep immersion into 'how things work,' where students develop and test sophisticated computational models and solve highly complex financial problems. Covers stochastic modeling, dynamic optimization, stochastic calculus and Monte Carlo simulation through topics such as dynamic asset pricing and investment management, market equilibrium and portfolio choice with frictions and constraints, and risk management. Assumes solid undergraduate-level background in calculus, probability, statistics, and programming and includes a substantial coding component. Students are encouraged but not required to use R for coursework.