ISE-537: Financial Analytics¶
I took the class back in Fall 2020. The course is an extremely good introduction to the world of quantitative finance and in particular, what a quantitative researcher would be doing at a quant fund. We went through the essential theories such as CAPM and its derivation, along with specific concepts such as constructing a pure factor based on Fama-Macbeth regressions, and touching on topics such as Black Litterman Bayesian Portfolio optimization which combines expert prior information into portfolio allocation. I enjoyed the class very much and it inspired me to look at possibilities of a career in quantitative finance instead of purely data science. Overall, great experience and an absolutely excellent Professor Kai Chen.