18.S096 Topics in Mathematics with Applications in Finance (Fall 2013, MIT OCW). Instructors: Dr. Peter Kempthorne, Dr. Choongbum Lee, Dr. Vasily Strela, and Dr. Jake Xia.
0
September 21, 2023
English
English [CC]
Description
The purpose of the class is to expose undergraduate and graduate students to the mathematical concepts and techniques used in the financial industry. 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. (from ocw.mit.edu)
Course Curriculum
- Lecture 01 – Introduction, Financial Terms and Concepts Unlimited
- Lecture 02 – Linear Algebra Unlimited
- Lecture 03 – Probability Theory Unlimited
- Lecture 05 – Stochastic Processes I Unlimited
- Lecture 06 – Regression Analysis Unlimited
- Lecture 07 – Value At Risk (VAR) Models Unlimited
- Lecture 08 – Time Series Analysis I Unlimited
- Lecture 09 – Volatility Modeling Unlimited
- Lecture 10 – Regularized Pricing and Risk Models Unlimited
- Lecture 11 – Time Series Analysis II Unlimited
- Lecture 12 – Time Series Analysis III Unlimited
- Lecture 13 – Commodity Models Unlimited
- Lecture 14 – Portfolio Theory Unlimited
- Lecture 15 – Factor Modeling Unlimited
- Lecture 16 – Portfolio Management Unlimited
- Lecture 17 – Stochastic Processes II Unlimited
- Lecture 18 – Ito Calculus Unlimited
- Lecture 19 – Black-Scholes Formula, Risk-neutral Valuation Unlimited
- Lecture 20 – Open Price and Probability Duality Unlimited
- Lecture 21 – Stochastic Differential Equations Unlimited
- Lecture 23 – Quanto Credit Hedging Unlimited
- Lecture 24 – HJM Model for Interest Rates and Credit Unlimited
- Lecture 25 – Ross Recovery Theorem Unlimited
- Lecture 26 – Introduction to Counterparty Credit Risk Unlimited
About the instructor
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