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The purpose of the class is to expose undergraduate and graduate students to the mathematical concepts and techniques used in the financial industry.

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English

English [CC]

FREE

Description

Mathematics lectures are mixed with lectures illustrating the corresponding application in the financial industry. MIT mathematicians teach the mathematics part while industry professionals give the lectures on applications in finance

Course content

  • Introduction & Financial Terms and Concepts Unlimited
  • Linear Algebra Unlimited
  • Probability Theory Unlimited
  • Stochastic Processes I Unlimited
  • Regression Analysis Unlimited
  • Value At Risk (VAR) Models Unlimited
  • Time Series Analysis I Unlimited
  • Volatility Modeling Unlimited
  • Regularized Pricing and Risk Models Unlimited
  • Time Series Analysis II Unlimited
  • Time Series Analysis III Unlimited
  • Commodity Models Unlimited
  • Portfolio Theory Unlimited
  • Factor Modeling Unlimited
  • Portfolio Management Unlimited
  • Stochastic Processes II Unlimited
  • Itō Calculus Unlimited
  • Black-Scholes Formula & Risk-neutral Valuation Unlimited
  • Stochastic Differential Equations Unlimited
  • Quanto Credit Hedging Unlimited
  • HJM Model for Interest Rates and Credit Unlimited
  • Ross Recovery Theorem Unlimited
  • Introduction to Counterparty Credit Risk Conclusions Unlimited

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Instructor

Massachusetts Institute of Technology
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