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.
Course Information
Certificate Track
Learn for Free
About this Course
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.
What you'll learn
- 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
Prerequisites
Calculus (multivariable)
Probability and statistics
Linear algebra
Basic programming skills
Meet your instructors
Paul F. Mende
Senior Lecturer
Paul Mende is a Senior Lecturer in the Finance Group at the MIT Sloan School of Management.
Mende co-founded, co-owned, and served as director of research from 2002 to 2010 for Fort Hill Capital Management, LLC, a hedge fund specializing in equity derivatives and dedicated to quantitative research, trading, and risk management. Fort Hill actively participated in the launch and success of Bay Hill Fund LP and Bay Hill Capital Management LLC in 2007 as a multi-strategy volatility hedge fund. In 2004, Fort Hill launched Absolute Strategies Fund and Absolute Investment Advisers LLC as an innovative absolute-return fund-of-funds structured as a Securities and Exchange Commission registered mutual fund, with daily liquidity for investors and full position-level transparency from managers.
Mende previously held positions as director of the Money Management & Trading Group at Cambridge Technology Partners, Inc., and as an analyst in the Quantitative Strategies Group at MDT Advisers, Inc. He also held positions as an assistant professor of physics at Brown University and as a research associate at the Center for Theoretical Physics and the Department of Mathematics at MIT.
Mende holds an AB in physics from Harvard University and a PhD in physics from Princeton University.
